| Autor: |
Ma, Huifang, Feng, Long, Wang, Zhaojun, Bao, Jigang |
| Rok vydání: |
2024 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| Popis: |
In this study, we introduce three distinct testing methods for testing alpha in high dimensional linear factor pricing model that deals with dependent data. The first method is a sum-type test procedure, which exhibits high performance when dealing with dense alternatives. The second method is a max-type test procedure, which is particularly effective for sparse alternatives. For a broader range of alternatives, we suggest a Cauchy combination test procedure. This is predicated on the asymptotic independence of the sum-type and max-type test statistics. Both simulation studies and practical data application demonstrate the effectiveness of our proposed methods when handling dependent observations. |
| Databáze: |
arXiv |
| Externí odkaz: |
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