3 papers
stat.ME2026
Testing Alpha in High-Dimensional Conditional Time-Varying Factor Models with Dependent Observations
Long Feng, Huifang Ma, Zhaojun Wang
This paper studies alpha testing in a high-dimensional conditional time-varying factor model with temporally dependent observations. Both factor loadings and alpha processes are al…
stat.ME2026
High dimensional alpha test for linear factor pricing model with -norm
Ping Zhao, Huifang Ma, Long Feng
We consider testing zero pricing errors in high-dimensional linear factor pricing models. Existing methods are mainly based on either an statistic, which is effective under d…
stat.ME2025
High dimensional matrix estimation through elliptical factor models
Xinyue Xu, Huifang Ma, Hongfei Wang +1
Elliptical factor models play a central role in modern high-dimensional data analysis, particularly due to their ability to capture heavy-tailed and heterogeneous dependence struct…