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pro vyhledávání: '"Leung, Raymond C. W."'
Autor:
Leung, Raymond C. W., Tam, Yu-Man
How to hedge factor risks without knowing the identities of the factors? We first prove a general theoretical result: even if the exact set of factors cannot be identified, any risky asset can use some portfolio of similar peer assets to hedge agains
Externí odkaz:
http://arxiv.org/abs/2103.09987
Autor:
Leung, Raymond C. W., Tam, Yu-Man
We propose a "small-uniform" statistic for the inference of the functional PCA estimator in a functional linear regression model. The literature has shown two extreme behaviors: on the one hand, the FPCA estimator does not converge in distribution in
Externí odkaz:
http://arxiv.org/abs/2102.10724