Time-varying factor selection : a sparse fused GMM approach

Liyuan Cui, Guanhao Feng, Yongmiao Hong, and Jiangshan Yang

Year of publication:	[2023]
Authors:	Cui, Liyuan ; Feng, Guanhao ; Hong, Yongmiao ; Yang, Jiangshan
Publisher:	London : Centre for Econometric Analysis, Bayes Business School
Subject:	conditional asset pricing \| heterogeneous structural breaks \| macroeconomic regimes \| sparsity \| time-varying model specifications \| Strukturbruch \| Structural break \| Theorie \| Theory \| Momentenmethode \| Method of moments \| CAPM \| Volatilität \| Volatility \| Modellierung \| Scientific modelling \| Zeitreihenanalyse \| Time series analysis

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