Heterogeneous predictability on mutual fund alphas: a sparse clustering GMM approach
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Cites work
- A local generalized method of moments estimator
- Common risk factors in the returns on stocks and bonds
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- Simultaneous Grouping Pursuit and Feature Selection Over an Undirected Graph
- Sparsity and Smoothness Via the Fused Lasso
- Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
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