Maximum likelihood estimation refines and augments an existing factor model with new transient factors using only observed asset returns and two hyperparameters.
The Mosaic Permutation Test: An Exact and Nonparametric Goodness-of-Fit Test for Factor Models.arXiv preprint arXiv:2404.15017, 2024
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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.