Jump factor models in large cross-sections
We develop tests for deciding whether a large cross-section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing cross-sectional...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2019
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2587 https://ink.library.smu.edu.sg/context/soe_research/article/3586/viewcontent/664_3180_1_SP_pvoa_cc_by.pdf |
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| Institution: | Singapore Management University |
| Language: | English |