Showing 1 - 10 of 16,248
Persistent link: https://www.econbiz.de/10002032691
Persistent link: https://www.econbiz.de/10001825768
Persistent link: https://www.econbiz.de/10002177631
Persistent link: https://www.econbiz.de/10002177370
Persistent link: https://www.econbiz.de/10009581654
Persistent link: https://www.econbiz.de/10000342900
Persistent link: https://www.econbiz.de/10000891108
Persistent link: https://www.econbiz.de/10011434903
Persistent link: https://www.econbiz.de/10011436797
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...
Persistent link: https://www.econbiz.de/10012042424