most citedAugmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia

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stat.ME2016★ 1 cited

Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia

Jianqing Fan, Yuan Ke, Yuan Liao

We study factor models augmented by observed covariates that have explanatory powers on the unknown factors. In financial factor models, the unknown factors can be reasonably well…