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