Robust high-dimensional alpha test for conditional time-varying factor models

DOI10.1080/02331888.2023.2180003OpenAlexW4321598960MaRDI QIDQ6044817

Ping Zhao

Publication date: 22 May 2023

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2023.2180003

zbMATH Keywords

high-dimensional datatime-varying coefficientspatial signconditional alpha test

Mathematics Subject Classification ID

Statistics (62-XX)

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