Efficient bias robust regression for time series factor models
R. Douglas Martin, Daniel Z. Xia
| Year of publication: |
2022
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|---|---|
| Authors: | Martin, R. Douglas ; Xia, Daniel Z. |
| Published in: |
The journal of asset management : a major new, international quarterly journal for the financial community. - London [u.a.] : Henry Stewart Publ., ISSN 1479-179X, ZDB-ID 2039445-7. - Vol. 23.2022, 3, p. 215-234
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| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/s41260-022-00258-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013199106