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- W1738943060 abstract "In this paper we study factor models for security returns on financial markets,where some pervasive factors are common across all securities and otherpervasive factors prevail only within some groups of securities but not inothers. This kind of structured factors allow a more nuanced analysis of determinantsof the security returns, in particular, they allow to study clusteringstructures in security returns as well as their determinants. The clusteringstructure provides a natural way to group the securities and to interpret commonfactors and group-specific factors. We give conditions under which thecommon factor space and the group-specific factor spaces can be identified,and propose an effective procedure to estimate the unobservable structure inthe factor space. Concretely, the procedure will determine the unknown numberof groups, endogenously classify securities into groups, determine the numberof common factors across all groups as well as the number of group-specificfactors in each group, and estimate the common factors and the group-specificfactors. The estimated factor structure will provides a more meaningful interpretationof the estimated factors in practical applications." @default.
- W1738943060 created "2016-06-24" @default.
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- W1738943060 date "2012-01-20" @default.
- W1738943060 modified "2023-09-27" @default.
- W1738943060 title "Common Factors and Specific Factors" @default.
- W1738943060 hasPublicationYear "2012" @default.
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