34 citations · 61 across the 9 of their papers we have counts for
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q-fin.ST2020★ 6 cited
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model
Liao Zhu, Robert A. Jarrow, Martin T. Wells
The purpose of this paper is to test the time-invariance of the beta coefficients estimated by the Adaptive Multi-Factor (AMF) model. The AMF model is implied by the generalized ar…
q-fin.ST2018★ 12 cited
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model
Liao Zhu, Sumanta Basu, Robert A. Jarrow +1
The paper proposes a new algorithm for the high-dimensional financial data -- the Groupwise Interpretable Basis Selection (GIBS) algorithm, to estimate a new Adaptive Multi-Factor…