Kristensen, Dennis; Ang, Andrew - School of Economics and Management, University of Aarhus - 2009
CREATES Research Paper 2009-9
Testing Conditional Factor Models
Dennis Kristensen and Andrew Ang
Testing ….
Keywords: factor models; time-varying loadings; nonparametric estimation; kernel methods;
testing.
JEL Classif cation: C12, C13 …'s systematic factor exposure. Consequently, a popular time-series speci cation test of a
factor model consists of testing whether …