Detecting Unobserved Heterogeneity in Efficient Prices via Classifier-Lasso-Reference-Cited by-同舟云学术

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Detecting Unobserved Heterogeneity in Efficient Prices via Classifier-Lasso

Published:2022-03-15 Issue:2 Volume:41 Page:509-522
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Huang Wenxin¹,Su Liangjun²,Zhuang Yuan³

Affiliation:

1. Antai College of Economics and Management, Shanghai Jiao Tong University, Shanghai, China

2. School of Economics and Management, Tsinghua University, Beijing, China

3. School of Banking & Finance, University of International Business and Economics, Beijing, China

Funder

National Natural Science Foundation of China

Shanghai Sailing Program

NSFC

UIBE

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2022.2036613

Reference40 articles.

1. Asset pricing and the bid-ask spread

2. Determining the Number of Factors in Approximate Factor Models

3. Institutional Investors and the Informational Efficiency of Prices

4. Grouped Patterns of Heterogeneity in Panel Data

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