Random selection of factors preserves the correlation structure in a linear factor model to a high degree
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2016-04-30 (Econometrics)
- NEP-ETS-2016-04-30 (Econometric Time Series)
- NEP-FMK-2016-04-30 (Financial Markets)
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