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econ.EM2026
A general randomized test for Alpha
Daniele Massacci, Lucio Sarno, Lorenzo Trapani +1
We propose a methodology to construct tests for the null hypothesis that the pricing errors of a panel of asset returns are jointly equal to zero in a linear factor asset pricing m…
econ.EM2024
Modelling Large Dimensional Datasets with Markov Switching Factor Models
Matteo Barigozzi, Daniele Massacci
We study a novel large dimensional approximate factor model with regime changes in the loadings driven by a latent first order Markov process. By exploiting the equivalent linear r…