Kristensen, Dennis; Ang, Andrew - School of Economics and Management, University of Aarhus - 2009
We develop a new methodology for estimating time-varying factor loadings and conditional alphas based on nonparametric … traditional Gibbons, Ross and Shanken (1989) test arises as a special case when there is no time variation in the factor loadings … Version: 4 March, 2009
Abstract
We develop a new methodology for estimating time-varying factor loadings and conditional al …