Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets

DOI10.3982/ECTA11069zbMath1419.91362OpenAlexW1568004826MaRDI QIDQ4613412

Elisa Ossola, Olivier Scaillet, Patrick Gagliardini

Publication date: 31 January 2019

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta11069

zbMATH Keywords

asset pricingthresholdingsparsityfactor modelrisk premiumlarge panel

Mathematics Subject Classification ID

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