Uncertainty Factor Models
The paper introduces a framework for handling uncertainty in factor models, demonstrating that integrated models perform well out-of-sample and that model uncertainty increases perceived risk in stocks.
Featured in No. 56 on 10 Jul 2024 ·
- Released
- 1 Jun 2023
- First featured
- No. 56 · 10 Jul 2024
- Published in
- Not yet, as far as Semantic Scholar knows
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- 13
- Identifier
- RePEc:bla:jfinan:v:78:y:2023:i:3:p:1593-1646
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