Testing alphas in conditional time-varying factor models with high dimensional assets

Testing alphas in conditional time-varying factor models with high dimensional assets

For conditional time-varying factor models with high dimensional assets, this article proposes a high dimensional alpha (HDA) test to assess whether there exist abnormal returns on securities (or portfolios) over the theoretical expected returns. To employ this test effectively, a constant coefficie...

Saved in:

書目詳細資料
Main Authors:	MA, Shujie, LAN, Wei, SU, Liangjun, TSAI, Chih-Ling
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2020
主題:	Conditional alpha test High dimensional data Mean-variance efficiency Spline estimator Time-varying coefficient Econometrics
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/2177 https://ink.library.smu.edu.sg/context/soe_research/article/3176/viewcontent/Ma_Lan_Su_Tse2018_.pdf
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!

相似書籍

Sieve Estimation of Time-Varying Panel Data Models with Latent Structures
由: SU, Liangjun, et al.
出版: (2015)

Sieve estimation of time-varying panel data models with latent structures
由: SU, Liangjun, et al.
出版: (2019)

Sieve estimation of time-varying panel data models with latent structures
由: SU, Liangjun, et al.
出版: (2019)

A simple approach for varying-coefficient model selection
由: Leng, C.
出版: (2014)

Semiparametric Estimator of Time Series Conditional Variance
由: MISHRA, Santosh, et al.
出版: (2010)

IMPROVEMENT SCREENING FOR ULTRA-HIGH DIMENSIONAL DATA WITH CENSORED SURVIVAL OUTCOMES AND VARYING COEFFICIENTS
由: YUE MU
出版: (2017)

Efficient estimation for semivarying-coefficient models
由: Xia, Y., et al.
出版: (2014)

On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices
由: Li, X., et al.
出版: (2014)

Cointegrating Rank Selection in Models with Time-Varying Variance
由: CHENG, Xu, et al.
出版: (2012)

FEATURE SELECTION IN HIGH-DIMENSIONAL MODELS AND INTERPRETING DEEP NEURAL NETWORKS
由: ZHANG AN
出版: (2021)

Three essays on nonstationary financial econometrics
由: ZHANG, Yajie
出版: (2021)

High dimensional regression coefficient test with high frequency data
由: CHEN, Dachuan, et al.
出版: (2024)

Adaptive estimation of continuous-time regression models using high-frequency data
由: LI, Jia, et al.
出版: (2017)

A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets
由: Li, X., et al.
出版: (2014)

High-dimensional IV cointegration estimation and inference
由: PHILLIPS, Peter C. B., et al.
出版: (2024)

Bayesian Varying-Coefficient Model with Missing Data
由: HUANG ZHIPENG
出版: (2013)

Kernel-based Inference in time-varying coefficient cointegrating regression
由: LI, Degui, et al.
出版: (2020)

Exact arbitrage and portfolio analysis in large asset markets
由: Ali Khan, M., et al.
出版: (2014)

Functional Coefficient Estimation with Both Categorical and Continuous Data
由: SU, Liangjun, et al.
出版: (2010)

Corrigendum to "On time-varying factor models: Estimation and testing" [J. Econometrics 198 (2017) 84-101]
由: SU, Liangjun, et al.
出版: (2020)

Local polynomial modelling for varying-coefficient informative survival models
由: Zhang, W., et al.
出版: (2014)

Semiparametric Varying-coefficient Model for Interval Censored Data with a Cured Proportion
由: SHAO FANG
出版: (2013)

Portfolio Selection Using Data Envelopment Analysis
由: Bhagia, Vishal, et al.
出版: (2021)

A frequentist approach to Bayesian asymptotics
由: CHENG, Tingting, et al.
出版: (2018)

STATISTICAL PROCESS MONITORING FOR COMPLEX MACHINERY BASED ON MULTIVARIATE HETEROGENEOUS DATA
由: WEI YUJIE
出版: (2025)

Understanding temporal aggregation effects on kurtosis in financial indices
由: LIEBERMAN, Offer, et al.
出版: (2022)

Shrinkage estimation of nonlinear models and covariance matrix
由: JIANG QIAN
出版: (2012)

Continuous-time mean-variance efficiency: The 80% rule
由: Li, X., et al.
出版: (2014)

Asymptotics and Bootstrap for Transformed Panel Data Regressions
由: SU, Liangjun, et al.
出版: (2009)

CORRELATION SCREENING AND FEATURE SELECTION FOR ULTRA-HIGH-DIMENSIONAL MODELS WITH COMPLEX STRUCTURES
由: GONG YUAN
出版: (2019)

Assets performance testing with the mean-variance ratio statistics
由: WANG KEYAN
出版: (2010)

Norming rates and limit theory for some time-varying coefficient autoregressions
由: LIEBERMAN, Offer, et al.
出版: (2014)

Estimation of Large Dimensional Factor Models with an Unknown Number of Breaks
由: MA, Shujie, et al.
出版: (2016)

Estimation of large dimensional factor models with an unknown number of breaks
由: MA, Shujie, et al.
出版: (2018)

Analysis of failure time using threshold regression with semi-parametric varying coefficients
由: Li, J., et al.
出版: (2014)

Improving variance function estimation in semiparametric longitudinal data analysis
由: Leng, C., et al.
出版: (2014)

Tilted nonparametric estimation of volatility functions with empirical applications
由: XU, Ke-Li, et al.
出版: (2011)

Adaptive semi-varying coefficient model selection
由: Hu, T., et al.
出版: (2014)

Quantile regression for additive coefficient models in high dimensions
由: Fan, Zengyan, et al.
出版: (2020)

A multivariate stochastic unit root model with an application to derivative pricing
由: LIEBERMAN, Offer, et al.
出版: (2017)