Adaptive testing for alphas in conditional factor models with high dimensional assets
Huifang Ma, Long Feng, Zhaojun Wang, Jigang Bao
| Year of publication: |
2024
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| Authors: | Ma, Huifang ; Feng, Long ; Wang, Zhaojun ; Bao, Jigang |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 42.2024, 4, p. 1356-1366
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| Subject: | Alpha tests | Conditional factor model | High dimensionality | Sparse alternatives | Spline estimator | CAPM | Schätztheorie | Estimation theory | Nichtparametrisches Verfahren | Nonparametric statistics | Schätzung | Estimation | Faktorenanalyse | Factor analysis | Statistischer Test | Statistical test | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2024.2313543 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015533794