A multi-dynamic-factor model for stock returns

A-Tier

Journal: Journal of Econometrics

Year: 1992

Volume: 52

Issue: 1-2

Pages: 245-266

Authors (3)

Ng, Victor (not in RePEc) Engle, Robert F. (New York University (NYU)) Rothschild, Michael (Princeton University)

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count