Pesaran, M. Hashem; Smith, Ron - 2021
-pass estimator of risk premia and its asymptotic distribution when T is fixed with n → ∞, and when both n and T → ∞, jointly. While … strength matter for consistent estimation of risk premia and subsequent inference, thus an estimate of factor strength is … required before attempting to estimate risk. Finally, using a recently developed procedure we provide rolling estimates of …