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How do estimate a factor model in S+FinMetrics?

April 26, 2017estimate Factor model s+finmetrics

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How do estimate a factor model in S+FinMetrics?

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The mfactor() function can be used to estimate a statistical multi-factor model. If the number of assets is greater than the number of observations, asymptotic principal component analysis is used. Otherwise, the classical principal component analysis is used.