Testing for regime changes in portfolios with a large number of assets : a robust approach to factor heteroskedasticity
Daniele Massacci
| Year of publication: |
2023
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|---|---|
| Authors: | Massacci, Daniele |
| Subject: | large factor model | linearity testing | portfolio choice | principal component analysis | threshold model | Portfolio-Management | Portfolio selection | Theorie | Theory | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Statistischer Test | Statistical test | Faktorenanalyse | Factor analysis | Kapitaleinkommen | Capital income | CAPM | Hauptkomponentenanalyse | Principal component analysis |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbaa046 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014314751