Download This PaperA Chi-Squared Statistic for Comparing the Independence of Out-of-Sample Factor Returns
2 Pages Posted: 15 Dec 2011
Date Written: October 5, 2010
Abstract
We present a simple asymptotic statistic to evaluated the independence of factor return series when computed from orthogonal loadings used out-of-sample.
Keywords: factor analysis, correlation, statistics
JEL Classification: C10, C12, C13, C14, C15, G10, G11
Suggested Citation: Suggested Citation
Giller, Graham L., A Chi-Squared Statistic for Comparing the Independence of Out-of-Sample Factor Returns (October 5, 2010). Available at SSRN: https://ssrn.com/abstract=1972334 or http://dx.doi.org/10.2139/ssrn.1972334
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