Adaptive testing for alphas in high-dimensional factor pricing models
Year of publication: |
2024
|
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Authors: | Xia, Qiang ; Zhang, Xianyang |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 42.2024, 2, p. 640-653
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Subject: | Cross-sectional dependence | Factor pricing model | High-dimensional intercepts | Sparse alternatives | CAPM | Schätztheorie | Estimation theory | Statistischer Test | Statistical test | Finanzmarkt | Financial market | Querschnittsanalyse | Cross-section analysis | Faktorenanalyse | Factor analysis |
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