Instability of Factor Strength in Asset Returns
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Cites work
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models
- An intertemporal asset pricing model with stochastic consumption and investment opportunities
- An LM Test for the Conditional Independence between Regressors and Factor Loadings in Panel Data Models with Interactive Effects
- Approximate factor models with weaker loadings
- Common risk factors in the returns on stocks and bonds
- Estimating and Testing Linear Models with Multiple Structural Changes
- Estimating and Testing Structural Changes in Multivariate Regressions
- Estimation of Sparsity-Induced Weak Factor Models
- Factor models with local factors -- determining the number of relevant factors
- Factor models with many assets: strong factors, weak factors, and the two-pass procedure
- scientific article; zbMATH DE number 3990600 (Why is no real title available?)
- Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
- Inference in Sparsity-Induced Weak Factor Models
- Inference under random limit bootstrap measures
- Least squares estimation of large dimensional threshold factor models
- Spurious inference in reduced-rank asset-pricing models
- Testing for structural change in conditional models
- Tests of risk premia in linear factor models
- Weak and strong cross-section dependence and estimation of large panels
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