Kristensen, Dennis; Ang, Andrew - School of Economics and Management, University of Aarhus - 2009
We develop a new methodology for estimating time-varying factor loadings and conditional alphas based on nonparametric …-
phas based on nonparametric techniques. We test whether long-run alphas, or averages of condi-
tional alphas over the ….
Keywords: factor models; time-varying loadings; nonparametric estimation; kernel methods;
testing.
JEL Classif cation: C12, C13 …