A Chi-Squared Statistic for Comparing the Independence of Out-of-Sample Factor Returns
Graham L. Giller
Bloomberg LP; Giller Investments
October 5, 2010
We present a simple asymptotic statistic to evaluated the independence of factor return series when computed from orthogonal loadings used out-of-sample.
Number of Pages in PDF File: 2
Keywords: factor analysis, correlation, statistics
JEL Classification: C10, C12, C13, C14, C15, G10, G11
Date posted: December 15, 2011
© 2015 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo2 in 0.297 seconds