Anyone has the code for the PCA used by Connor, G. and Korajczyk, R. "Risk and Return in an Equilibrium APT: Application of a New Test
Methodology." Journal of Financial Economics. 21(2), 255-289. Many Thanks
Connor, G. and Korajczyk, R. (1988)
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rak
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Re: Connor, G. and Korajczyk, R. (1988)
Some code is available at: http://www.kellogg.northwestern.edu/fac ... E1988.html
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fan
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Re: Connor, G. and Korajczyk, R. (1988)
Thank you so much for sharing the coderak wrote:Some code is available at: http://www.kellogg.northwestern.edu/fac ... E1988.html