Factor based index tracking-Reference-Cited by-同舟云学术

Factor based index tracking

Published:2006-08 Issue:8 Volume:30 Page:2215-2233
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Corielli Francesco,Marcellino Massimiliano

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference21 articles.

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2. The asymptotic theory for principal component analysis;Anderson;Annals of Mathematical Statistics,1963

3. Inferential theory for factor models of large dimensions;Bai;Econometrica,2003

4. Bai, J., forthcoming. Estimating cross-section common stochastic trends in non-stationary panel data. Journal of Econometrics.

5. Determining the number of factors in approximate factor models;Bai;Econometrica,2002

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