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High-dimensional estimation, basis assets, and the adaptive multi-factor model
Zhu, Liao; Basu, Sumanta; Jarrow, Robert A.; Wells, … - In: The quarterly journal of finance 10 (2020) 4, pp. 1-52
Persistent link: https://www.econbiz.de/10012627440
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The low-volatility anomaly and the adaptive multi-factor model
Jarrow, Robert A.; Murataj, Rinald; Wells, Martin T.; … - In: International journal of theoretical and applied … 26 (2023) 4/5, pp. 1-33
Persistent link: https://www.econbiz.de/10014497298
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Time-invariance coefficients tests with the adaptive multi-factor model
Zhu, Liao; Jarrow, Robert A.; Wells, Martin T. - In: The quarterly journal of finance 11 (2021) 4, pp. 1-30
Persistent link: https://www.econbiz.de/10013170764