Testing Linear Factor Pricing Models With Large Cross Sections: A Distribution-Free Approach

DOI10.1080/07350015.2012.740435MaRDI QIDQ6666903zbMATH OpenFDO

Authors Sermin Gungor, Richard Luger

Publication date 20 January 2025

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2012.740435

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cited in

(1)

• Adaptive Testing for Alphas in Conditional Factor Models with High Dimensional Assets

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