High-dimensional test for alpha in linear factor pricing models with sparse alternatives
Long Feng, Wei Lan, Binghui Liu, Yanyuan Ma
| Year of publication: |
2022
|
|---|---|
| Authors: | Feng, Long ; Lan, Wei ; Liu, Binghui ; Ma, Yanyuan |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 229.2022, 1, p. 152-175
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| Subject: | High dimensionality | Linear factor pricing model | Securities in stock markets | Sparse alternatives | Tests for alpha | CAPM | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2021.07.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013441842