Testing Alphas in Conditional Time-Varying Factor Models with High Dimensional Assets (Journal Article) | NSF PAGES

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Citation Details

Testing Alphas in Conditional Time-Varying Factor Models with High Dimensional Assets

Award ID(s):: 1712558

NSF-PAR ID:: 10063320

Author(s) / Creator(s):: Ma, Shujie; Lan, Wei; Su, Liangjun; Tsai, Chih-Ling

Date Published:: 2018-06-06

Journal Name:: Journal of Business & Economic Statistics

ISSN:: 0735-0015

Page Range / eLocation ID:: 1 to 34

Format(s):: Medium: X

Sponsoring Org:: National Science Foundation

Free Publicly Accessible Full Text
Accepted Manuscript1.0
Journal Article:
https://doi.org/10.1080/07350015.2018.1482758