Open AccessMaximum Conditional Alpha Test for Conditional Multi-Factor Models
Author(s) -
Jun Zhang,
Wei Lan,
Xinyan Fan,
Wen Chen
Publication year - 2023
Publication title -
statistica sinica
Language(s) - Uncategorized
Resource type - Journals
SCImago Journal Rank - 1.24
H-Index - 77
eISSN - 1996-8507
pISSN - 1017-0405
DOI - 10.5705/ss.202022.0137
Subject(s) - test (biology) , econometrics , alpha (finance) , mathematics , conditional variance , computer science , statistics , volatility (finance) , paleontology , construct validity , autoregressive conditional heteroskedasticity , biology , psychometrics
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