Maximum likelihood estimation refines and augments an existing factor model with new transient factors using only observed asset returns and two hyperparameters.
Extra-Market Components of Covariance in Security Returns.Journal of Financial and quantitative analysis, 9(2):263–274, 1974
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Enhancing a Risk Model by Adding Transient Statistical Factors
Maximum likelihood estimation refines and augments an existing factor model with new transient factors using only observed asset returns and two hyperparameters.