GMM estimation of the number of latent factors: With application to international stock markets-Reference-Cited by-同舟云学术

GMM estimation of the number of latent factors: With application to international stock markets

Published:2010-09 Issue:4 Volume:17 Page:783-802
ISSN:0927-5398
Container-title:Journal of Empirical Finance
language:en
Short-container-title:Journal of Empirical Finance

Author:

Ahn Seung C.,Perez M. Fabricio

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference48 articles.

1. Stochastic frontier models with multiple time-varying individual effects;Ahn;J. Prod. Anal.,2007

2. Exploring common factors in the term structure of credit spreads: the use of canonical correlations, working paper;Ahn,2009

3. Ahn, Seung C., Young H. Lee, and Peter Schmidt, 2010, Panel data models with multiple time-varying individual effects, Arizona State University, mimeo.

4. Small sample bias in GMM estimation of covariance structures;Altonji;J. Bus. Econ. Stat.,1996

5. GMM estimation of a stochastic volatility model: a Monte Carlo study;Andersen;J. Bus. Econ. Stat.,1996

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