Performance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis

By Gregory Connor, Robert A. Korajczyk. 1986

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Citations in the corpus

Principal Components and Regularized Estimation of Factor Models (2017, neutral): “With (7)See Delvin et al. (1981), Li and Chen (1985), Ma and Genton (2001), Hubert et al.”
Certifiably Optimal Low Rank Factor Analysis (2016, methodology): “Principal Component (PC) Factor Analysis: Principal Component factor analysis or PC in short (Connor and Korajczyk, 1986; Bai and Ng, 2008) implicitly assumes that Φ = σ 2 I p × p , for some σ 2 > 0 and performs a low-rank PCA on Σ .”
Determining the number of factors in approximate factor models with global and group-specific factors (2008, unknown): “[10] Connor, G.”
Identification and Estimation of Dynamic Factor Models (2012, methodology): “The normalization var (Aεt) = Iq implies that AA′ = Iq (16)”
Macro Factors in Bond Risk Premia (2005, methodology): “By contrast, Connor and Korajczyk (1986, 1988) pioneered techniques for undertaking dynamic factor analysis when T is fixed and N "# .”
Estimating cross-section common stochastic trends in nonstationary panel data (2004, methodology): “, Connor and Korajczyk (1986) for large N but Bxed T and Stock and Watson (1999a) for large N and large T .”
Empirical cross-sectional asset pricing: a survey (2011, methodology): “Connor and Korajczyk (1986, 1993) develop a methodology for extracting principal components from a large cross section of returns when the number of time-series observations is smaller than the cross-sectional dimension.”
Likelihood-based Analysis for Dynamic Factor Models (2008, methodology): “Chamberlain and Rothschild (1983) and Connor and Korajczyk (1986, 1988, 1993) show that if N goes to infinity the factors are estimated consistently using the method of principal components.”
Forecasting with Many Predictors (2006, methodology): “We will refer to {F̂t } as the PCA estimator of the factors in the static representation of the DFM. PCA: large-n theoretical results Connor and Korajczyk (1986) show that the PCA estimators of the space spanned by the factors are pointwise consistent for T fixed and n → ∞ in the approximate factor…”
A parametric estimation method for dynamic factor models of large dimensions (2009, methodology): “The static version of the factor model was analysed, among others, by Chamberlain and Rothschild (1983) and Connor and Korajczyk (1986, 1993).”
Quantile Factor Models (2017, unknown): “31), and MadEco-CM (grant S205/HUM-3444) is gratefully acknowledged. The usual disclaimer applies. 1 Introduction Following the key contributions by Ross (1976), Chamberlain and Rothschild (1983) and Connor and Korajczyk (1986) to the theory of approximate factor models (AFM henceforth) in the conte”