Adaptive Testing for Alphas in Conditional Factor Models with High Dimensional Assets
Author:
Affiliation:
1. School of Statistics and Data Science, KLMDASR, LEBPS, and LPMC, Nankai University
2. Tsinghua Shenzhen International Graduate School, Tsinghua University, Shenzhen Wukong Investment Management Co. Ltd.
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/10.1080/07350015.2024.2313543
Reference47 articles.
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3. Bakalli G. S. Guerrier and O. Scaillet (2023). A penalized two-pass regression to predict stock returns with time-varying risk premia. Journal of Econometrics 105375.
4. Beaulieu M. C. J. M. Dufour and L. Khalaf (2007). Multivariate tests of mean-variance efficiency with possibly non-gaussian errors: An exact simulation-based approach. Journal of Business and Economic Statistics 25 (4) 398–410.
5. Cai T. T. W. Liu and Y. Xia (2014). Two-sample test of high dimensional means under dependence. Journal of the Royal Statistical Society. Series B (Statistical Methodology) 76 (2) 349–372.
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