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
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|---|---|
| Authors: | Ma, Shujie ; Lan, Wei ; Su, Liangjun ; Tsai, Chih-Ling |
| 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. 38.2020, 1, p. 214-227
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| Subject: | Conditional alpha test | High-dimensional data | Mean-variance efficiency | Spline estimator | Time-varying coefficient. | Schätzung | Estimation | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | CAPM | Zeitreihenanalyse | Time series analysis | Nichtparametrisches Verfahren | Nonparametric statistics | Statistischer Test | Statistical test |
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