Factor Models for Asset Returns Based on Transformed Factors

Li, Jialiang, Zhang, Wenyang orcid.org/0000-0001-8391-1122 and Kong, Efang (2018) Factor Models for Asset Returns Based on Transformed Factors. Journal of Econometrics. pp. 432-448. ISSN 0304-4076


Copyright, Publisher and Additional Information: © 2018 Elsevier B.V. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy.
  • Accepted: 13 September 2018
  • Published (online): 3 October 2018
Institution: The University of York
Academic Units: The University of York > Faculty of Sciences (York) > Mathematics (York)
Depositing User: Pure (York)
Date Deposited: 18 Sep 2018 13:50
Last Modified: 05 Jan 2020 06:51
Published Version: https://doi.org/10.1016/j.jeconom.2018.09.001
Status: Published online
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.jeconom.2018.09.001


Accepted Version

Embargoed until: 3 October 2020

Filename: lzk1808.pdf

Description: lzk1808

Licence: CC-BY-NC-ND 2.5

Request a copy

Share / Export