Testing high-dimensional linear asset pricing models
Wei Lan, Long Feng and Ronghua Luo
| Year of publication: |
2018
|
|---|---|
| Authors: | Lan, Wei ; Feng, Long ; Luo, Ronghua |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 16.2018, 2, p. 191-210
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| Subject: | high-dimensional data | linear pricing model | market efficiency | random projection | CAPM | Effizienzmarkthypothese | Efficient market hypothesis | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Kapitalmarkttheorie | Capital market theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nby002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011987758