Efficient bias robust regression for time series factor models

R. Douglas Martin, Daniel Z. Xia

Year of publication:	2022
Authors:	Martin, R. Douglas ; Xia, Daniel Z.
Subject:	Betas \| Bias \| Efficiency \| Factor returns \| Model selection \| Robust regression \| Time-series factor models \| Variance \| Zeitreihenanalyse \| Time series analysis \| Faktorenanalyse \| Factor analysis \| Systematischer Fehler \| Regressionsanalyse \| Regression analysis \| Schätztheorie \| Estimation theory \| Schätzung \| Estimation \| Robustes Verfahren \| Robust statistics \| Kapitaleinkommen \| Capital income \| CAPM \| Portfolio-Management \| Portfolio selection

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