Fama-French five-factor modeling: new evidence from a nonparametric method

DOI10.1515/SNDE-2024-0046MaRDI QIDQ6839074zbMATH OpenFDO

Authors Zihao Hou, Viktor Manahov, Dimitrios Stafylas

Publication date 24 March 2026

Published in Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/SNDE-2024-0046

zbMATH Keywords

conditional alphaconditional betasFama-French factorshigh-frequencynonparametric methodtime-varying estimators

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A Test of the Efficiency of a Given Portfolio
• ANOVA for diffusions and Itō processes
• Common risk factors in the returns on stocks and bonds
• Efficient semiparametric estimation of the Fama-French model and extensions
• Fully Nonparametric Estimation of Scalar Diffusion Models
• High-frequency factor models and regressions
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• Microstructure Noise, Realized Variance, and Optimal Sampling
• Modeling price clustering in high-frequency prices
• Nonparametric filtering of the realized spot volatility: a kernel-based approach
• Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
• Volatility puzzles: a simple framework for gauging return-volatility regressions

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