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

DOI10.5705/SS.202021.0134MaRDI QIDQ6069874zbMATH OpenOpenAlexWikidataFDO

Authors Long Feng, Binghui Liu, Yanyuan Ma

Publication date 17 November 2023

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5705/ss.202021.0134

zbMATH Keywords

elliptical symmetric distributionhigh dimensionalitylinear factor pricing modelsrobust test for alphaS\&P's 500 securities

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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Cited in

(4)

• Robust high-dimensional alpha test for conditional time-varying factor models
• High-dimensional non-parametric tests for linear asset pricing models
• Spatial-sign-based high-dimensional white noises test
• Adaptive strategy of testing alphas in high dimensional linear factor pricing models

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