Testing factor models when asset bubbles occur : a time-varying perspective
Year of publication: |
2023
|
---|---|
Authors: | Yu, Lu ; Li, Yanglin |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 124.2023, p. 1-8
|
Subject: | Bubble | Factor models | GRS test | Time-varying | Wild bootstrap | Spekulationsblase | Bubbles | Theorie | Theory | CAPM | Bootstrap-Verfahren | Bootstrap approach | Faktorenanalyse | Factor analysis | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Statistischer Test | Statistical test | Börsenkurs | Share price |
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