High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model
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DOI: 10.1142/s2010139220500172
Abstract: 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 (AMF) asset pricing model, implied by the recently developed Generalized Arbitrage… read more here.
Keywords: high dimensional; adaptive multi; basis assets; model ... See more keywords