Bayesian solutions for the factor zoo: we just ran two quadrillion models

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Authors and Corporations:

Bryzgalova, Svetlana (Author), Huang, Jiantao (Author), Julliard, Christian (Author)

Other Authors:

Huang, Jiantao [Author] • Julliard, Christian [Author]

Type of Resource:

E-Book

Language:

English

published:

London Systemic Risk Centre, The London School of Economics and Political Science [2020]

Series:

SRC discussion paper ; no 93 (January 2020)

Subjects:

Cross-sectional asset pricing

factor models

model evaluation

multiple testing

data mining

p-hacking

Bayesian methods

Graue Literatur

Source:

Verbunddaten SWB
Lizenzfreie Online-Ressourcen

Internet

http://www.systemicrisk.ac.uk/sites/default/files/downloads/publications/dp-93_0.pdf