A nested factor model for non-linear dependencies in stock returns

Rémy Chicheportiche and J-P Bouchaud ()
Additional contact information
Rémy Chicheportiche: FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec
J-P Bouchaud: SPEC - UMR3680 - Service de physique de l'état condensé - IRAMIS - Institut Rayonnement Matière de Saclay (DRF) - CEA - Commissariat à l'énergie atomique et aux énergies alternatives - Université Paris-Saclay - Université Paris-Saclay - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Date: 2015-11
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Published in Quantitative Finance, 2015, 15 (11), pp.1789-1804. ⟨10.1080/14697688.2014.994668⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01339978

DOI: 10.1080/14697688.2014.994668

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().