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Dynamic functional regression with application to the cross-section of returns

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dc.contributor.authorKokoszka, Piotr, author
dc.contributor.authorMiao, Hong, author
dc.contributor.authorReimherr, Matthew, author
dc.contributor.authorTaoufik, Bahaeddine, author
dc.contributor.authorJournal of Financial Econometrics, publisher
dc.date.accessioned2020-05-19T05:03:39Z
dc.date.available2020-05-19T05:03:39Z
dc.date.issued2017-08-28
dc.descriptionIncludes bibliographical references (pages 28-30).
dc.descriptionPublished as: Journal of Financial Econometrics, vol. 16, no. 3, pp. 461-485, Summer 2018, https://doi.org/10.1093/jjfinec/nbx027
dc.description.abstractMotivated by testing the significance of risk factors for a cross-section of returns, we develop an inferential framework which involves function-on-scalar regression. Asymptotic theory is developed assuming the factors form a weakly dependent vector-valued time series, and the regression errors are weakly dependent functions. To accommodate the empirical behavior of the cross-section of returns and of the factors, we allow both the factors and the error functions can exhibit mild departures from stationarity. This requires new asymptotic theory which leads to several tests for the significance of function-valued regression coefficients. The new approach to the study of the significance of risk factors for a cross-section of returns complements the established Fama–French approach based on portfolio construction. It is more suitable if the statistical significance of the risk factors is to be rigorously controlled.
dc.format.mediumborn digital
dc.format.mediumarticles
dc.identifier.bibliographicCitationPiotr Kokoszka, Hong Miao, Matthew Reimherr, Bahaeddine Taoufik, Dynamic Functional Regression with Application to the Cross-section of Returns, Journal of Financial Econometrics, Volume 16, Issue 3, Summer 2018, Pages 461–485, https://doi.org/10.1093/jjfinec/nbx027
dc.identifier.urihttps://hdl.handle.net/10217/206896
dc.languageEnglish
dc.language.isoeng
dc.publisherColorado State University. Libraries
dc.relation.ispartofFaculty Publications
dc.rights©2018 Oxford University Press. Author can archive pre-print and post-print. This is a pre-copyedited, author-produced version of an article accepted for publication in Journal of Financial Econometrics following peer review. The version of record "Piotr Kokoszka, Hong Miao, Matthew Reimherr, Bahaeddine Taoufik, Dynamic Functional Regression with Application to the Cross-section of Returns, Journal of Financial Econometrics, Volume 16, Issue 3, Summer 2018, Pages 461–485, https://doi.org/10.1093/jjfinec/nbx027" is available online at: https://doi.org/10.1093/jjfinec/nbx027.
dc.rightsCopyright and other restrictions may apply. User is responsible for compliance with all applicable laws. For information about copyright law, please see https://libguides.colostate.edu/copyright.
dc.subjectcross-section of returns
dc.subjectfunctional regression
dc.subjectweak dependence
dc.subjecttime series
dc.subjectHilbert space
dc.titleDynamic functional regression with application to the cross-section of returns
dc.typeText

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