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20242026
most citedTesting Alpha in High Dimensional Linear Factor Pricing Models with Dependent Observations

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stat.ME2026

Adaptive Test for Jump

Huifang Ma, Long Feng

We develop an adaptive jump test for discretely observed high-frequency semimartingales by combining the A"it-Sahalia--Jacod ratio statistic (A"it-Sahalia and Jacod, 2009) and the…

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…