Heterogeneous Tail Common Factor Modeling
The proposed Factor-HGH model, which handles non-Gaussian errors, shows promise in modeling financial factors and asset returns, especially for cryptocurrencies with highly heterogeneous tails.
Featured in No. 10 on 2 Aug 2023 · on release day
- Released
- 2 Aug 2023
- First featured
- No. 10 · 2 Aug 2023
- Published in
- Not yet, as far as Semantic Scholar knows
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- Identifier
- RePEc:spr:digfin:v:5:y:2023:i:2:d:10.1007_s42521-023-00083-z
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