Testing alphas in conditional time-varying factor models with high-dimensional assets
Shujie Ma, Wei Lan, Liangjun Su, Chih-Ling Tsai
| Year of publication: |
2020
|
|---|---|
| Authors: | Ma, Shujie ; Lan, Wei ; Su, Liangjun ; Tsai, Chih-Ling |
| Subject: | Conditional alpha test | High-dimensional data | Mean-variance efficiency | Spline estimator | Time-varying coefficient. | Schätztheorie | Estimation theory | Schätzung | Estimation | Portfolio-Management | Portfolio selection | CAPM | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Faktorenanalyse | Factor analysis | Statistischer Test | Statistical test | Regressionsanalyse | Regression analysis |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2018.1482758 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012179549