Robust Testing
A new test is introduced for identifying changes in risk exposures of large financial asset portfolios, revealing portfolio weight dynamics across different regimes.
Featured in No. 39 on 6 Mar 2024 ·
- Released
- 20 May 2023
- First featured
- No. 39 · 6 Mar 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 8
- Identifier
- RePEc:oup:jfinec:v:21:y:2023:i:2:p:316-367.
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).