1 citations · 1 across the 4 of their papers we have counts for
4 papers
Double Robust high dimensional alpha test for linear factor pricing model
Ping Zhao, Long Feng, Hongfei Wang +1
In this paper, we investigate alpha testing for high-dimensional linear factor pricing models. We propose a spatial sign-based max-type test to handle sparse alternative cases. Add…
Testing Alpha in High Dimensional Linear Factor Pricing Models with Dependent Observations
Huifang Ma, Long Feng, Zhaojun Wang +1
In this study, we introduce three distinct testing methods for testing alpha in high dimensional linear factor pricing model that deals with dependent data. The first method is a s…
Adaptive Rank-based Tests for High Dimensional Mean Problems
Yu Zhang, Long Feng
The Wilcoxon signed-rank test and the Wilcoxon-Mann-Whitney test are commonly employed in one sample and two sample mean tests for one-dimensional hypothesis problems. For high-dim…
Adaptive Testing for Alphas in Conditional Factor Models with High Dimensional Assets
Huifang MA, Long Feng, Zhaojun Wang
This paper focuses on testing for the presence of alpha in time-varying factor pricing models, specifically when the number of securities N is larger than the time dimension of the…