Testing factor models when asset bubbles occur : a time-varying perspective
Lu Yu, Yanglin Li
| Year of publication: |
2023
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|---|---|
| Authors: | Yu, Lu ; Li, Yanglin |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 124.2023, p. 1-8
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| Subject: | Bubble | Factor models | GRS test | Time-varying | Wild bootstrap | Spekulationsblase | Bubbles | Bootstrap-Verfahren | Bootstrap approach | Faktorenanalyse | Factor analysis | CAPM | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Statistischer Test | Statistical test |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2023.106311 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014463291