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econ.EM2018★ 2 cited
Limit Theorems for Factor Models
Stanislav Anatolyev, Anna Mikusheva
The paper establishes the central limit theorems and proposes how to perform valid inference in factor models. We consider a setting where many counties/regions/assets are observed…
econ.EM2018
Factor models with many assets: strong factors, weak factors, and the two-pass procedure
Stanislav Anatolyev, Anna Mikusheva
This paper re-examines the problem of estimating risk premia in linear factor pricing models. Typically, the data used in the empirical literature are characterized by weakness of…