Maximum likelihood estimation refines and augments an existing factor model with new transient factors using only observed asset returns and two hyperparameters.
A Simple Method for Predicting Covariance Matrices of Financial Returns.Foundations and Trends®in Econometrics, 12(4):324–407, 2023
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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.