Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative Economics 10 (2019) 2, pp. 419-456
We develop tests for deciding whether a large cross-section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing...