Maximum conditional alpha test for conditional multi-factor models

DOI10.5705/SS.202022.0137MaRDI QIDQ6919634zbMATH OpenFDO

Authors Jun Zhang, Wei Lan, Xinyan Fan, Wen Chen

Publication date 8 October 2025

Published in Statistica Sinica (Search for Journal in Brave)

zbMATH Keywords

time-varying coefficientsparse alternativeb-spline estimatormaximum conditional alpha test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• scientific article; zbMATH DE number 3703310 (Why is no real title available?)
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