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Time-varying predictability of the long horizon equity premium based on semiparametric regressions

Yu, Deshui; Li, Chen; Li, Luyang - In: Economics letters 224 (2023), pp. 1-6

Persistent link: https://www.econbiz.de/10014307887

Factor models of stock returns : GARCH errors versus time-varying betas

Koundouri, Phoebe; Kourogenis, Nikolaos; Pittis, Nikitas; … - In: Journal of forecasting 35 (2016) 5, pp. 445-461

Persistent link: https://www.econbiz.de/10011580985

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

Characteristic-sorted portfolios : estimation and inference

Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; … - 2016

Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...

Persistent link: https://www.econbiz.de/10011523775