Testing High-Dimensional Linear Asset Pricing Models
Author:
Affiliation:
1. Statistics School, Southwestern University of Finance and Economics
2. Statistics School, Nankai University
3. School of Finance, Southwestern University of Finance and Economics
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance
Link
http://academic.oup.com/jfec/article-pdf/16/2/191/24595184/nby002.pdf
Reference27 articles.
1. Nonnormalities and Tests of Asset Pricing Theories;Affleck-Graves;Journal of Finance,1989
2. Testing Conditional Factor Models;Ang;Journal of Financial Economics,2012
3. Exponent of Cross-Sectional Dependence: Estimation and Inference;Bailey;Journal of the Applied Econometrics,2016
4. Multivariate Tests of Mean-Variance Efficiency With Possibly Non-Gaussian Errors: : An Exact Simulation-Based Approach;Journal of Business and Economic Statistics,2007
5. A Comparison of the Stable and Student Distributions as Statistical Models of Stock Prices;Blattberg;Journal of Business,1974
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1. High-Dimensional Alpha Test of the Linear Factor Pricing Models With Heavy-Tailed Distributions;Statistica Sinica;2024
2. Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities;Journal of Financial Econometrics;2023-02-10
3. Arbitrage Pricing with Heterogeneous Spatial Effects and Heteroscedastic Disturbances;Journal of Financial Econometrics;2022-02-17
4. Clustered Covariate Regression;SSRN Electronic Journal;2019
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