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Liao, Zhipeng; Liu, Yan; Xie, Zhenzhen - In: Management science : journal of the Institute for … 70 (2024) 11, pp. 7911-7942

Persistent link: https://www.econbiz.de/10015145017

Estimating the beta-return relationship by considering the sign and the magnitude of daily returns

Ben Sita, Bernard - In: The quarterly review of economics and finance : journal … 67 (2018), pp. 28-35

Persistent link: https://www.econbiz.de/10012034395

Testing alphas in conditional time-varying factor models with high-dimensional assets

Ma, Shujie; Lan, Wei; Su, Liangjun; Tsai, Chih-Ling - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 214-227

Persistent link: https://www.econbiz.de/10012179549

Efficient bias robust regression for time series factor models

Martin, R. Douglas; Xia, Daniel Z. - In: The journal of asset management : a major new, … 23 (2022) 3, pp. 215-234

Persistent link: https://www.econbiz.de/10013199106

A literature review of new methods in empirical asset pricing : omitted-variable and errors-in-variable bias

Collot, Solène; Hemauer, Tobias - In: Financial markets and portfolio management 35 (2021) 1, pp. 77-100

Persistent link: https://www.econbiz.de/10012495901

Combining alphas via bounded regression

Kakushadze, Zura - In: Risks : open access journal 3 (2015) 4, pp. 474-490

We give an explicit algorithm and source code for combining alpha streams via bounded regression. In practical applications, typically, there is insufficient history to compute a sample covariance matrix (SCM) for a large number of alphas. To compute alpha allocation weights, one then resorts to...

Persistent link: https://www.econbiz.de/10011402659