Weichen Wang

Princeton University - Department of Operations Research & Financial Engineering (ORFE)

Sherrerd Hall, Charlton Street

Princeton, NJ 08544

United States

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Scholarly Papers (1)

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Projected Principal Component Analysis in Factor Models

Number of pages: 50 Posted: 18 Jun 2014
Jianqing Fan, Yuan Liao and Weichen Wang
Princeton University - Bendheim Center for Finance, Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
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Abstract:

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approximate factor model, high dimensionality, sieve approximation, semi-parametric