SEOUL NATIONAL UNIVERSITY · CENTER FOR LAW & ECONOMICS
Center for Law & Economics, Seoul National UniversityCENTER FOR LAW & ECONOMICS
ECONOMICS · RESEARCH RECORD
GlobalMacroeconomics

Infinite Factor Structure in Conditional Asset Pricing

AT A GLANCE

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The return covariance matrix is widely assumed to have an eigenvalue cliff: a few large eigenvalues, then a bounded bulk, as in the approximate

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