A Chi-Squared Statistic for Comparing the Independence of Out-of-Sample Factor Returns
| Year of publication: |
2011
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|---|---|
| Authors: | Giller, Graham L. |
| Publisher: |
[2011]: [S.l.] : SSRN |
| Description of contents: |
We present a simple asymptotic statistic to evaluated the independence of factor return series when computed from orthogonal loadings used out-of-sample
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| Extent: | 1 Online-Ressource (2 p) |
|---|---|
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 5, 2010 erstellt |
| Other identifiers: | 10.2139/ssrn.1972334 [DOI] |
| Classification: | C10 - Econometric and Statistical Methods: General. General ; C12 - Hypothesis Testing ; C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; G10 - General Financial Markets. General ; G11 - Portfolio Choice |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013117499