Rolling Uniqueness and Factors

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gabfernandes
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Joined: Thu Apr 02, 2015 1:40 pm

Rolling Uniqueness and Factors

Postby gabfernandes » Thu Apr 02, 2015 1:51 pm

Hello, guys.

I am used to estimating betas/R2s in rolling windows and I wonder if there is any way I can do that with factor analysis: a 6-month rolling uniqueness and first factor, for example.

Haven't found this anywhere here...

Thank you so much,

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