High-Dimensional Alpha Test of the Linear Factor Pricing Models With Heavy-Tailed Distributions
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Publication:6069874
DOI10.5705/ss.202021.0134OpenAlexW4225067000WikidataQ114013798 ScholiaQ114013798MaRDI QIDQ6069874
Long Feng, Yanyuan Ma, Binghui Liu
Publication date: 17 November 2023
Published in: Statistica Sinica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.5705/ss.202021.0134
high dimensionalityelliptical symmetric distributionlinear factor pricing modelsrobust test for alphaS\&P's 500 securities
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