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Estimating Pervasive Economic Factors with Missing Observations.. (1987). Korajczyk, Robert ; Connor, Gregory.
In: Research Program in Finance Working Papers.
RePEc:ucb:calbrf:173.

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  1. Financial integration in the EU28 equity markets: Measures and drivers. (2022). Ossola, Elisa ; Papanagiotou, E ; Nardo, M.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:57:y:2022:i:c:s138641812100015x.

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  2. Eigenvalue tests for the number of latent factors in short panels. (2022). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe.
    In: Papers.
    RePEc:arx:papers:2210.16042.

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  3. Factors and risk premia in individual international stock returns. (2021). Scaillet, Olivier ; Chaieb, Ines ; Langlois, Hugues.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:141:y:2021:i:2:p:669-692.

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  4. Financial integration in the EU28 equity markets: measures and drivers. (2020). Papanagiotou, Evangalia ; Ossola, Elisa ; Nardo, Michela.
    In: Working Papers.
    RePEc:jrs:wpaper:202009.

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  5. Estimation of large dimensional conditional factor models in finance. (2019). Scaillet, Olivier ; Ossola, Elisa ; Gagliardini, Patrick.
    In: Working Papers.
    RePEc:gnv:wpgsem:unige:125031.

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  6. A diagnostic criterion for approximate factor structure. (2019). Scaillet, Olivier ; Ossola, Elisa ; Gagliardini, Patrick.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:212:y:2019:i:2:p:503-521.

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  7. A diagnostic criterion for approximate factor structure. (2017). Scaillet, Olivier ; Gagliardini, Patrick ; Ossola, Elisa .
    In: Papers.
    RePEc:arx:papers:1612.04990.

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  8. Testing index-based models in U.K. stock returns. (2015). Marshall, Andrew ; Fletcher, Jonathan ; Davies, J.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:45:y:2015:i:2:p:337-362.

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  9. Time-varying risk premium in large cross-sectional equity datasets. (2015). Scaillet, Olivier ; Ossola, Elisa ; Gagilardini, Patrick .
    In: Working Papers.
    RePEc:gnv:wpgsem:unige:76321.

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  10. Time-varying risk premium in large cross-sectional equity datasets. (2015). Ossola, Elisa ; Scaillet, Olivier ; Gagilardini, Patrick .
    In: Working Papers.
    RePEc:gnv:wpaper:unige:76321.

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  11. Macroeconomic Factors and Microlevel Bank Behavior. (2014). Prieto, Esteban ; Eickmeier, Sandra ; Buch, Claudia.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:46:y:2014:i:4:p:715-751.

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  12. A Performance Comparison of Large-n Factor Estimators. (2014). Korajczyk, Robert ; Connor, Gregory ; Chen, Zhuo.
    In: Economics, Finance and Accounting Department Working Paper Series.
    RePEc:may:mayecw:n255-14.pdf.

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  13. Liquidity dynamics across public and private markets. (2012). Chang, Qingqing ; Bond, Shaun A..
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:31:y:2012:i:7:p:1890-1910.

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  14. Portfolio Risk Analysis. (2010). Connor, Gregory ; Korajczyk, Robert A ; Goldberg, Lisa R.
    In: Economics Books.
    RePEc:pup:pbooks:9224.

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  15. How important is liquidity risk for sovereign bond risk premia? Evidence from the London stock exchange. (2010). Alquist, Ron.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:82:y:2010:i:2:p:219-229.

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  16. Dynamics in Systematic Liquidity. (2009). Nilsson, Birger ; Hagströmer, Björn ; Anderson, Richard ; Binner, Jane ; Hagstromer, Bjorn .
    In: Working Papers.
    RePEc:hhs:lunewp:2009_007.

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  17. Aggregate Earnings and Asset Prices. (2009). Ball, Ray ; Sadka, Gil.
    In: Journal of Accounting Research.
    RePEc:bla:joares:v:47:y:2009:i:5:p:1097-1133.

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  18. How common are common return factors across the NYSE and Nasdaq?. (2008). Goyal, Amit ; Villa, Christophe ; Perignon, Christophe.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:90:y:2008:i:3:p:252-271.

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  19. Pricing the commonality across alternative measures of liquidity. (2008). Korajczyk, Robert ; Sadka, Ronnie .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:87:y:2008:i:1:p:45-72.

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  20. The common and specific components of dynamic volatility. (2006). LINTON, OLIVER ; Korajczyk, Robert ; Connor, Gregory.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:132:y:2006:i:1:p:231-255.

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  21. International diversification strategies. (2002). Del Negro, Marco ; Brooks, Robin.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2002-23.

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  22. Extracting factors from heteroskedastic asset returns. (2001). Jones Christopher S., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:62:y:2001:i:2:p:293-325.

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  23. Costs of Equity Capital and Model Mispricing. (1998). Stambaugh, Robert ; Pastor, Lubos.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6490.

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  24. Capital control liberalization and stock market development. (1996). Levine, Ross ; Zervos, Sara.
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:1622.

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  25. What Do Fund Flows Reveal about Asset Pricing Models and Investor Sophistication?. (). van Nieuwerburgh, Stijn ; Mangipudi, Chandra Sekhar ; Jegadeesh, Narasimhan.
    In: Review of Economic Studies.
    RePEc:oup:restud:v:34:y::i:1:p:108-148..

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