High-dimensional non-parametric tests for linear asset pricing models

DOI10.1002/STA4.490MaRDI QIDQ6543960zbMATH OpenFDO

Authors Ping Zhao, Dachuan Chen, Xue-Min Zi

Publication date 27 May 2024

Published in Stat (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/STA4.490

zbMATH Keywords

asymptotic normalityelliptical distribution familyhigh-dimensional alpha testslocal power analysisspatial-sign tests

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A Test of the Efficiency of a Given Portfolio
• An Inverse Norm Sign Test of Location Parameter for High-Dimensional Data
• Common risk factors in the returns on stocks and bonds
• High-Dimensional Alpha Test of the Linear Factor Pricing Models With Heavy-Tailed Distributions
• High-dimensional covariance matrix estimation in approximate factor models
• High-dimensional test for alpha in linear factor pricing models with sparse alternatives
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• Multivariate sign-based high-dimensional tests for sphericity
• Power enhancement in high-dimensional cross-sectional tests

Cited in

(2)

• Spatial-sign-based high-dimensional white noises test
• Adaptive strategy of testing alphas in high dimensional linear factor pricing models

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