Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets
Authors: | GAGLIARDINI, Patrick ; OSSOLA, Elisa ; SCAILLET, Olivier |
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Subject: | large panel | factor model | risk premium | asset pricing |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 11-40 66 pages |
Classification: | C12 - Hypothesis Testing ; C13 - Estimation ; C23 - Models with Panel Data ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; G12 - Asset Pricing |
Source: |
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Estimation of large dimensional conditional factor models in finance
Gagliardini, Patrick, (2019)
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Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets
GAGLIARDINI, Patrick,
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A penalized two-pass regression to predict stock returns with time-varying risk premia
Bakalli, Gaetan, (2021)
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Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets
Gagliardini, Patrick, (2011)
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Time-varying risk premium in large cross-sectional equidity datasets
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A diagnostic criterion for approximate factor structure
Gagliardini, Patrick, (2016)
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