Statistical learning and testing approaches for temporal dependence structures with application to financial engineering.
A technique called gaussian temporal factor analysis (gaussian TFA) proposed by Xu in 2000 may be used to test the APT model under the mild assumption that the efficient market hypothesis (EMH) is violated. We are motivated to investigate statistical behaviors of the gaussian TFA model. === Accordin...
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| Format: | Others |
| Language: | English Chinese |
| Published: |
2003
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| Online Access: | http://library.cuhk.edu.hk/record=b6073941 http://repository.lib.cuhk.edu.hk/en/item/cuhk-343319 |