Search Results - subject:"Large dimensions"

A large-dimensional test for cross-sectional anomalies : efficient sorting revisited

De Nard, Gianluca; Zhao, Zhao - In: International review of economics & finance : IREF 80 (2022), pp. 654-676

Persistent link: https://www.econbiz.de/10013342641

Uniform inference for conditional factor models with instrumental and idiosyncratic betas

Liao, Yuan; Yang, Xiye - 2017

It has been well known in financial economics that factor betas depend on observed instruments such as firm specific characteristics and macroeconomic variables, and a key object of interest is the effect of instruments on the factor betas. One of the key features of our model is that we specify...

Persistent link: https://www.econbiz.de/10011771555

Uniform inference for conditional factor models with instrumental and idiosyncratic betas

Liao, Yuan; Yang, Xiye - 2017

Persistent link: https://www.econbiz.de/10012028605

Computing the best linear predictor in a Hilbert space. Applications to general ARMAH processes

Bosq, D. - In: Journal of Multivariate Analysis 124 (2014) C, pp. 436-450

This article deals with linear prediction in large dimensions. One obtains various explicit forms of the best linear …

Persistent link: https://www.econbiz.de/10010737768

Occupation Time Fluctuations of an Infinite Variance Branching System in Large Dimensions

Bojdecki, T.; Gorostiza, Luis G.; Talarczyk, A. - Départment des sciences administratives, Université … - 2005

state), in the cases of critical dimension, d = (1+)/, and large dimensions, d > (1 + )/. The fluctuation processes are … the critical dimension, and S0(Rd)-valued for large dimensions. We also raise some questions of interpretation of the …

Persistent link: https://www.econbiz.de/10005773155