A Combined Approach to the Inference of Conditional Factor Models

• Main Authors: LI, Yan, SU, Liangjun, XU, Yuewu
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2014
• Subjects: Conditional Factor Models; Specification Tests; Semiparametric Method; Non-parametric Method; Conditional CAPM; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1592; https://ink.library.smu.edu.sg/context/soe_research/article/2591/viewcontent/10_2014.pdf
• Institution: Singapore Management University

This paper develops a new methodology for estimating and testing conditional factor models in finance. We propose a two-stage procedure that naturally unifies the two existing approaches in the finance literature -- the parametric approach and the nonparametric approach. Our combined approach posses...