Testing Conditional Factor Models
收藏NBER2011-11-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w17561
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资源简介：
Using nonparametric techniques, we develop a methodology for estimating conditional alphas and betas and long-run alphas and betas, which are the averages of conditional alphas and betas, respectively, across time. The tests can be performed for a single asset or jointly across portfolios. The
提供机构：
美国国家经济研究局
创建时间：
2011-11-01
