A Factor-Adjusted Multiple Testing Procedure With Application to Mutual Fund Selection
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Publication:6634849
DOI10.1080/07350015.2017.1294078zbMATH Open1548.62582MaRDI QIDQ6634849FDOQ6634849
Publication date: 8 November 2024
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
Cites Work
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- Title not available (Why is that?)
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- Large-scale multiple testing under dependence
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- High-dimensional variable selection
- Strong Control, Conservative Point Estimation and Simultaneous Conservative Consistency of False Discovery Rates: A Unified Approach
- Common risk factors in the returns on stocks and bonds
- Estimation of the False Discovery Proportion with Unknown Dependence
- Factor profiled sure independence screening
- Forward regression for ultra-high dimensional variable screening
- False discovery control with p-value weighting
- Unexplained factors and their effects on second pass \(R\)-squared's
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