Ahn, Seung C.; Gadarowski, Christopher; Perez, M. Fabricio - In: Journal of Financial Econometrics 10 (2012) 4, pp. 669-701
We examine the asymptotic and finite-sample properties of the two-pass (TP) cross-sectional regressions estimators when factors and asset returns are conditionally heteroskedastic and/or autocorrelated. Using a minimum distance approach, we derive the heteroskedasticity- and/or...
