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We have E mX t=1 |wt −ewt,ς| !p ≤ mp−1 mX t=1 E |wt −ewt,ς|p ≤ c0mp−1mℓ−pa ≤ c1mp/2, on account of (C.3)

It holds that E mX t=1 wt !p ≤ 2p−1 E mX t=1 ewt,ℓ !p + E mX t=1 (wt −ewt,ℓ) !p! ≤ 2p−1 E mX t=1 ewt,ℓ !p + E mX t=1 |wt −ewt,ℓ| !p! · 1995

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A general randomized test for Alpha

econ.EM · 2025-07-23 · unverdicted · novelty 7.0

A new randomized test for joint zero alpha in linear factor asset pricing models that avoids covariance matrix estimation and handles large N and T with heteroskedasticity and cross-sectional dependence.

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  • A general randomized test for Alpha econ.EM · 2025-07-23 · unverdicted · none · ref 10

    A new randomized test for joint zero alpha in linear factor asset pricing models that avoids covariance matrix estimation and handles large N and T with heteroskedasticity and cross-sectional dependence.