How robust are empirical factor models to the choice of breakpoints?
Year of publication: |
2023
|
---|---|
Authors: | Hollstein, Fabian ; Prokopczuk, Marcel ; Voigts, Victoria |
Published in: |
The Quarterly Journal of Finance : QJF. - Singapore : World Scientific Publ., ISSN 2010-1406, ZDB-ID 2600942-0. - Vol. 13.2023, 4, Art.-No. 2350011, p. 1-68
|
Subject: | breakpoints | Empirical asset pricing | factor models | replication analysis | robustness | Schätzung | Estimation | Faktorenanalyse | Factor analysis | Robustes Verfahren | Robust statistics | CAPM | Portfolio-Management | Portfolio selection | Kapitalmarkttheorie | Financial economics |
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