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Covariance Implied Risk Factors

https://doi.org/10.2139/ssrn.6136149
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/j.jfineco.2019.06.008openalex-snapshot
Shrinking the cross-section
inferredcites →https://doi.org/10.1086/261749openalex-snapshot
Implications of Security Market Data for Models of Dynamic Economies
inferredcites →https://doi.org/10.1093/rfs/hhaa020openalex-snapshot
Factors That Fit the Time Series and Cross-Section of Stock Returns
inferredcites →https://doi.org/10.1093/rfs/hhr068openalex-snapshot
Common Risk Factors in Currency Markets
inferredcites →https://doi.org/10.1093/rfs/hhv059openalex-snapshot
Editor's Choice … and the Cross-Section of Expected Returns
inferredcites →https://doi.org/10.1111/0022-1082.00318openalex-snapshot
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
inferredcites →https://doi.org/10.1111/1468-0262.00273openalex-snapshot
Determining the Number of Factors in Approximate Factor Models
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03806.xopenalex-snapshot
Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00836.xopenalex-snapshot
The Cross‐Section of Volatility and Expected Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2012.01728.xopenalex-snapshot
Carry Trades and Global Foreign Exchange Volatility
inferredcites →https://doi.org/10.1111/jofi.13477openalex-snapshot
Forest through the Trees: Building Cross‐Sections of Stock Returns
inferredcites →https://doi.org/10.1257/000282803321455151openalex-snapshot
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
inferredcites →https://doi.org/10.1287/mnsc.2022.4563openalex-snapshot
Shrinking Factor Dimension: A Reduced-Rank Approach
Editorial review for independent work. ICSAC — the Institute for Complexity Science and Advanced Computing — runs a structured editorial panel for researchers publishing outside journals, and publishes on CiteStamp rails. Submission is free and goes through ORCID: icsacinstitute.org/submit.