Estimation Risk and Shrinkage in Vast-Dimensional Fundamental Factor Models

A.C. van Vlodrop, Andre Lucas

Research output: Working paperAcademic

Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Institute
Number of pages34
Volume2018
Publication statusPublished - 2018

Publication series

NameTI Discussion Paper Series
PublisherTinbergen Institute
No.099/III
Volume2018

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