of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of … restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high‐frequency returns at …

We develop an econometric methodology to infer the path of risk premia from large unbalanced panel of individual stock … address consistent estimation of the asymptotic variance, and testing for asset pricing restrictions induced by the no … for the usual unconditional four-factor model capturing market, size, value and momentum effects. large panel, factor …

We develop an econometric methodology to infer the path of risk premia from a large unbalanced panel of individual … series dimensions. We address consistent estimation of the asymptotic variance by hard thresholding, and testing for asset …