In search of statistically valid risk factors

DOI10.1080/14697688.2014.952954zbMath1395.91504OpenAlexW3125807984MaRDI QIDQ4683046

No author found.

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.952954

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

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• Influential observations, high leverage points, and outliers in linear regression
• Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• An Intertemporal Capital Asset Pricing Model
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Common risk factors in the returns on stocks and bonds

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