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~person:"Shimotsu, Katsumi"
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Search: subject:"finite-sample properties"
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Covariance matrix estimation
2
Factor models
2
Finite sample properties
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Hansen-Jagannathan distance
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Shrinkage method
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CAPM
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Shimotsu, Katsumi
Huber, Martin
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Lechner, Michael
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Chang, Chia-Lin
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McAleer, Michael
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Ren, Yu
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Improvement in
Finite
Sample
Properties
of the Hansen-Jagannathan Distance Test
Ren, Yu
;
Shimotsu, Katsumi
-
2007
proposes to improve the
finite
sample
properties
of the HJ-distance test by applying the shrinkage method (Ledoit and Wolf …
Persistent link: https://www.econbiz.de/10011940740
Saved in:
2
Improvement in
Finite
Sample
Properties
of the Hansen-Jagannathan Distance Test
Ren, Yu
;
Shimotsu, Katsumi
-
Economics Department, Queen's University
-
2007
proposes to improve the
finite
sample
properties
of the HJ-distance test by applying the shrinkage method (Ledoit and Wolf …
Persistent link: https://www.econbiz.de/10005688211
Saved in:
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