Factor Models for Asset Returns Based on Transformed Factors

Jialiang Li; Wenyang Zhang; Efang Kong

doi:10.1016/j.jeconom.2018.09.001

Factor Models for Asset Returns Based on Transformed Factors

Jialiang Li, Wenyang Zhang, Efang Kong

Mathematics

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	432-448
Number of pages	17
Journal	Journal of Econometrics
Volume	207
Issue number	2
Early online date	3 Oct 2018
DOIs	https://doi.org/10.1016/j.jeconom.2018.09.001
Publication status	E-pub ahead of print - 3 Oct 2018

Bibliographical note

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10.1016/j.jeconom.2018.09.001

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© 2018 Elsevier B.V. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy.
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Cite this

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title = "Factor Models for Asset Returns Based on Transformed Factors",

author = "Jialiang Li and Wenyang Zhang and Efang Kong",

note = "{\textcopyright} 2018 Elsevier B.V. This is an author-produced version of the published paper. Uploaded in accordance with the publisher{\textquoteright}s self-archiving policy.",

year = "2018",

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day = "3",

doi = "10.1016/j.jeconom.2018.09.001",

language = "English",

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journal = "Journal of Econometrics",

issn = "0304-4076",

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T1 - Factor Models for Asset Returns Based on Transformed Factors

AU - Li, Jialiang

AU - Zhang, Wenyang

AU - Kong, Efang

PY - 2018/10/3

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U2 - 10.1016/j.jeconom.2018.09.001

DO - 10.1016/j.jeconom.2018.09.001

M3 - Article

SN - 0304-4076

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EP - 448

JO - Journal of Econometrics

JF - Journal of Econometrics

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