Power enhancement for testing multi-factor asset pricing models via Fisher's method
Xiufan Yu, Jiawei Yao, Lingzhou Xue
| Year of publication: |
2024
|
|---|---|
| Authors: | Yu, Xiufan ; Yao, Jiawei ; Xue, Lingzhou |
| Subject: | Bahadur efficiency | Fisher’s method | High-dimensional hypothesis testing | Multi-factor pricing models | Power enhancement | Sparse alternatives | CAPM | Statistischer Test | Statistical test | Kapitalmarkttheorie | Financial economics | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2023.05.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015074451