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Testing linear factor models on individual stocks using the average F-test

Hwang, Soosung; Satchell, Stephen - In: The European journal of finance 20 (2014) 4/6, pp. 463-498

Persistent link: https://www.econbiz.de/10010461963

Finding relevant variables in sparse Bayesian factor models : economic applications and simulation results

Kaufmann, Sylvia; Schumacher, Christian - 2012

This paper considers factor estimation from heterogenous data, where some of the variables are noisy and only weakly informative for the factors. To identify the irrelevant variables, we search for zero rows in the loadings matrix of the factor model. To sharply separate these irrelevant...

Persistent link: https://www.econbiz.de/10009674269

An introduction to the bootstrap

Efron, Bradley; Tibshirani, Robert - 1993

Persistent link: https://www.econbiz.de/10009700930

Statistics, data analysis, and decision modeling

Evans, James R. - 2007 - 3. edition

Persistent link: https://www.econbiz.de/10003201028

Statistical analysis of management data

Gatignon, Hubert - 2003

Persistent link: https://www.econbiz.de/10001713085

Statistics and finance : an introduction

Ruppert, David - 2004

regression using splines, are introduced as needed. The classical methods of finance such as portfolio theory, CAPM, and the …:Introduction * Probability and Statistical Models * Returns * Time Series Models * Portfolio Theory * Regression * The Capital Asset Pricing …