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Multivariate statistics / Data analysis / Singular value decomposition / Heteroscedasticity / Principal component analysis / Factor analysis / Variance / Eigenvalues and eigenvectors / Autocorrelation / Statistics / Time series analysis / Econometrics


Journal of Financial Economics[removed]–325 Extracting factors from heteroskedastic asset returns$ Christopher S. Jones* The William E. Simon Graduate School of Business Administration, University of Rochester,
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Document Date: 2009-11-29 21:38:47

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Lehman / Elsevier Science S.A. / /

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USD / /

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Facility

University of Rochester / /

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Assumption / /

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computational algorithm / large law / heteroskedastic factor extraction algorithm / iterative algorithm / Recent applications / factor decomposition algorithm / /

Organization

Graduate School / University of Rochester / Rochester / /

Person

Bob Korajczyk / Eugene Fama / Christopher S. Jones / Louis Scott / Spencer Martin / Jay Shanken / Bill Schwert / Mark Carhart / Rob Stambaugh / Greg Connor / Chamberlain / /

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Rt / /

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New York / /

PublishedMedium

the CRSP monthly / Journal of Financial Economics / /

Technology

iterative algorithm / simulation / computational algorithm / factor decomposition algorithm / heteroskedastic factor extraction algorithm / /

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