Testing Alphas in Conditional Time-Varying Factor Models With High-Dimensional Assets

Ma, SJ; Lan, W; Su, LJ; Tsai, CL

Ma, SJ (corresponding author), Univ Calif Riverside, Dept Stat, Riverside, CA 92521 USA.

JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2020; 38 (1): 214

Abstract

For conditional time-varying factor models with high-dimensional assets, this article proposes a high-dimensional alpha (HDA) test to assess whether t......

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