Work

High-Dimensional Mean-Variance Spanning Tests

Year: 2024

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.4703023

Authors: David Ardia, Sébastien Laurent, Rosnel SESSINOU

Institutions: HEC Montréal, Aix-Marseille Sciences Economiques

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: Agence Nationale de la Recherche, Institut de Valorisation des Données, Natural Sciences and Engineering Research Council of Canada

Awards: G2659019386, "Sentometrics": Econometrics of textual sentiment with applications in economics and finance, Aix-Marseille School of Economics, Machine Learning and Econometrics for Risk Measurement in Finance, G6803667113

OpenAlex ID: W4393062048

Cites: 44

Cited by: 1

Related to: 10