A Combined Approach to the Inference of Conditional Factor Models
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...
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| Main Authors: | , , |
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| 格式: | text |
| 語言: | English |
| 出版: |
Institutional Knowledge at Singapore Management University
2014
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| 主題: | |
| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/1592 https://ink.library.smu.edu.sg/context/soe_research/article/2591/viewcontent/10_2014.pdf |
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