C14 - Semiparametric and Nonparametric Methods: General - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T11:04:06+00:00Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach
https://www.bankofcanada.ca/2010/12/working-paper-2010-36/
We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of non-normalities, heteroskedasticity, time-varying correlations, and even outliers in the asset returns.2010-12-22T11:16:11+00:00enTesting Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach2010-12-22Econometric and statistical methodsFinancial marketsWorking Paper 2010-36https://www.bankofcanada.ca/wp-content/uploads/2010/12/wp10-36.pdfTesting Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free ApproachSermin GungorRichard LugerDecember 2010CC1C12C14C3C33GG1G11G12