High-Dimensional Alpha Test of the Linear Factor Pricing Models With Heavy-Tailed Distributions (Q6069874): Difference between revisions

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Property / DOI: 10.5705/ss.202021.0134 / rank
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Latest revision as of 18:09, 30 December 2024

scientific article; zbMATH DE number 7767612
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English
High-Dimensional Alpha Test of the Linear Factor Pricing Models With Heavy-Tailed Distributions
scientific article; zbMATH DE number 7767612

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    High-Dimensional Alpha Test of the Linear Factor Pricing Models With Heavy-Tailed Distributions (English)
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    17 November 2023
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    elliptical symmetric distribution
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    high dimensionality
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    linear factor pricing models
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    robust test for alpha
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    S\&P's 500 securities
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