#2548. Measurement of factor strength: Theory and practice

December 2026publication date
Proposal available till 30-05-2025
4 total number of authors per manuscript3000 $

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Journal’s subject area:
Social Sciences (miscellaneous);
Economics and Econometrics;
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Abstract:
The article proposes an estimate of the strength of factors and establishes its consistency and asymptotic distribution. The results show that the proposed evaluation and withdrawal procedures work well and have excellent energy performance, especially when the force factor is high enough.
Keywords:
cross-sectional dependence; factor models; factor strength; market factor

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