Extracting factors from heteroskedastic asset returns

Journal of Financial Economics

Volumn 62, Issue 2, 2001, Pages 293-325

  Jones, Christopher S ^a  

^a UNIVERSITY OF ROCHESTER   (United States)

Author keywords

Arbitrage pricing theory T; C13; Factor analysis; G12; Heteroskedasticity; Principal components

Indexed keywords

EID: 0035510801     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(01)00079-4     Document Type: Article

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