Beyond sorting: A more powerful test for cross-sectional anomalies
Year of publication: |
2016
|
---|---|
Authors: | Ledoit, Olivier ; Wolf, Michael ; Zhao, Zhao |
Publisher: |
Zurich : University of Zurich, Department of Economics |
Subject: | Cross-section of returns | dynamic conditional correlations | GARCH | Markowitz portfolio selection | nonlinear shrinkage |
Series: | Working Paper ; 238 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.5167/uzh-128607 [DOI] 874939526 [GVK] hdl:10419/162441 [Handle] |
Classification: | C13 - Estimation ; c58 ; G11 - Portfolio Choice |
Source: |
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Beyond sorting : a more powerful test for cross-sectional anomalies
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Beyond sorting : a more powerful test for cross-sectional anomalies
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