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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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2014
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| Subjects: | |
| 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 |
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| Institution: | Singapore Management University |
| Language: | English |