{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2024,9,16]],"date-time":"2024-09-16T13:07:12Z","timestamp":1726492032931},"reference-count":84,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2016,9,1]],"date-time":"2016-09-01T00:00:00Z","timestamp":1472688000000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.elsevier.com\/tdm\/userlicense\/1.0\/"},{"start":{"date-parts":[[2020,9,1]],"date-time":"2020-09-01T00:00:00Z","timestamp":1598918400000},"content-version":"vor","delay-in-days":1461,"URL":"http:\/\/www.elsevier.com\/open-access\/userlicense\/1.0\/"}],"content-domain":{"domain":["elsevier.com","sciencedirect.com"],"crossmark-restriction":true},"short-container-title":["Journal of Multivariate Analysis"],"published-print":{"date-parts":[[2016,9]]},"DOI":"10.1016\/j.jmva.2016.05.011","type":"journal-article","created":{"date-parts":[[2016,6,2]],"date-time":"2016-06-02T23:10:21Z","timestamp":1464909021000},"page":"125-151","update-policy":"http:\/\/dx.doi.org\/10.1016\/elsevier_cm_policy","source":"Crossref","is-referenced-by-count":10,"special_numbering":"C","title":["Exact and asymptotic tests on a factor model in low and large dimensions with applications"],"prefix":"10.1016","volume":"150","author":[{"given":"Taras","family":"Bodnar","sequence":"first","affiliation":[]},{"given":"Markus","family":"Rei\u00df","sequence":"additional","affiliation":[]}],"member":"78","reference":[{"year":"1964","series-title":"Handbook of Mathematical Functions with Formulas, Graphs and Mathematical Tables","key":"10.1016\/j.jmva.2016.05.011_br000005"},{"issue":"2","key":"10.1016\/j.jmva.2016.05.011_br000010","doi-asserted-by":"crossref","first-page":"1171","DOI":"10.1214\/12-AOS1000","article-title":"Noisy matrix decomposition via convex relaxation: Optimal rates in high dimensions","volume":"40","author":"Agarwal","year":"2012","journal-title":"Ann. Statist."},{"issue":"3","key":"10.1016\/j.jmva.2016.05.011_br000015","doi-asserted-by":"crossref","first-page":"338","DOI":"10.1080\/07350015.2000.10524875","article-title":"Bayesian dynamic factor models and portfolio allocation","volume":"18","author":"Aguilar","year":"2000","journal-title":"J. Bus. Econom. Statist."},{"issue":"3","key":"10.1016\/j.jmva.2016.05.011_br000020","doi-asserted-by":"crossref","first-page":"1203","DOI":"10.3982\/ECTA8968","article-title":"Eigenvalue ratio test for the number of factors","volume":"81","author":"Ahn","year":"2013","journal-title":"Econometrica"},{"issue":"1","key":"10.1016\/j.jmva.2016.05.011_br000025","doi-asserted-by":"crossref","first-page":"76","DOI":"10.1198\/073500106000000440","article-title":"Forecasting the volatility of australian stock returns: Do common factors help?","volume":"25","author":"Anderson","year":"2007","journal-title":"J. Bus. Econom. Statist."},{"issue":"4","key":"10.1016\/j.jmva.2016.05.011_br000030","doi-asserted-by":"crossref","first-page":"279","DOI":"10.1002\/for.957","article-title":"Factor forecasts for the UK","volume":"24","author":"Artis","year":"2005","journal-title":"J. Forecast."},{"issue":"1","key":"10.1016\/j.jmva.2016.05.011_br000035","doi-asserted-by":"crossref","first-page":"135","DOI":"10.1111\/1468-0262.00392","article-title":"Inferential theory for factor models of large dimensions","volume":"71","author":"Bai","year":"2003","journal-title":"Econometrica"},{"issue":"1","key":"10.1016\/j.jmva.2016.05.011_br000040","doi-asserted-by":"crossref","first-page":"285","DOI":"10.3982\/ECTA9409","article-title":"Fixed-effects dynamic panel models, a factor analytical method","volume":"81","author":"Bai","year":"2013","journal-title":"Econometrica"},{"issue":"1","key":"10.1016\/j.jmva.2016.05.011_br000045","doi-asserted-by":"crossref","first-page":"436","DOI":"10.1214\/11-AOS966","article-title":"Statistical analysis of factor models of high dimension","volume":"40","author":"Bai","year":"2012","journal-title":"Ann. Statist."},{"issue":"1","key":"10.1016\/j.jmva.2016.05.011_br000050","doi-asserted-by":"crossref","first-page":"191","DOI":"10.1111\/1468-0262.00273","article-title":"Determining the number of factors in approximate factor models","volume":"70","author":"Bai","year":"2002","journal-title":"Econometrica"},{"issue":"2","key":"10.1016\/j.jmva.2016.05.011_br000055","doi-asserted-by":"crossref","first-page":"89","DOI":"10.1561\/0800000002","article-title":"Large dimensional factor analysis","volume":"3","author":"Bai","year":"2008","journal-title":"Found. Trends Econom."},{"issue":"1","key":"10.1016\/j.jmva.2016.05.011_br000060","doi-asserted-by":"crossref","first-page":"18","DOI":"10.1016\/j.jeconom.2013.03.007","article-title":"Principal components estimation and identification of static factors","volume":"176","author":"Bai","year":"2013","journal-title":"J. Econometrics"},{"year":"2014","series-title":"Spectral Theory of Large Dimensional Random Matrices and Its Applications to Wireless Communications and Finance Statistics","author":"Bai","key":"10.1016\/j.jmva.2016.05.011_br000065"},{"issue":"6B","key":"10.1016\/j.jmva.2016.05.011_br000070","doi-asserted-by":"crossref","first-page":"3822","DOI":"10.1214\/09-AOS694","article-title":"Corrections to lrt on large-dimensional covariance matrix by rmt","volume":"37","author":"Bai","year":"2009","journal-title":"Ann. Statist."},{"year":"2010","series-title":"Spectral Analysis of Large Dimensional Random Matrices","author":"Bai","key":"10.1016\/j.jmva.2016.05.011_br000075"},{"issue":"3","key":"10.1016\/j.jmva.2016.05.011_br000080","doi-asserted-by":"crossref","first-page":"892","DOI":"10.1093\/restud\/rds044","article-title":"Identification-robust estimation and testing of the zero-beta capm","volume":"80","author":"Beaulieu","year":"2013","journal-title":"Rev. Econ. Stud."},{"issue":"1","key":"10.1016\/j.jmva.2016.05.011_br000085","doi-asserted-by":"crossref","first-page":"245","DOI":"10.1006\/jeth.1996.2218","article-title":"Necessary conditions for the capm","volume":"73","author":"Berk","year":"1997","journal-title":"J. Econom. Theory"},{"issue":"3","key":"10.1016\/j.jmva.2016.05.011_br000090","doi-asserted-by":"crossref","first-page":"525","DOI":"10.1016\/S0304-3932(03)00024-2","article-title":"Monetary policy in a data-rich environment","volume":"50","author":"Bernanke","year":"2003","journal-title":"J. Monet. Econ."},{"year":"1995","series-title":"Probability and Measure","author":"Billingsley","key":"10.1016\/j.jmva.2016.05.011_br000095"},{"issue":"3","key":"10.1016\/j.jmva.2016.05.011_br000100","doi-asserted-by":"crossref","first-page":"444","DOI":"10.1086\/295472","article-title":"Capital market equilibrium with restricted borrowing","volume":"45","author":"Black","year":"1972","journal-title":"J. Bus."},{"key":"10.1016\/j.jmva.2016.05.011_br000105","doi-asserted-by":"crossref","first-page":"215","DOI":"10.1016\/j.jmva.2014.08.006","article-title":"On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix","volume":"132","author":"Bodnar","year":"2014","journal-title":"J. Multivariate Anal."},{"key":"10.1016\/j.jmva.2016.05.011_br000110","series-title":"Contributions in Infinite-Dimensional Statistics and Related Topics","first-page":"55","article-title":"Optimal linear shrinkage estimator for large dimensional precision matrix.","author":"Bodnar","year":"2014"},{"key":"10.1016\/j.jmva.2016.05.011_br000115","doi-asserted-by":"crossref","first-page":"223","DOI":"10.1016\/j.jmva.2015.09.010","article-title":"Direct shrinkage estimation of large dimensional precision matrix","volume":"146","author":"Bodnar","year":"2016","journal-title":"J. Multivariate Anal."},{"issue":"10","key":"10.1016\/j.jmva.2016.05.011_br000120","doi-asserted-by":"crossref","first-page":"2389","DOI":"10.1016\/j.jmva.2008.02.024","article-title":"Properties of the singular, inverse and generalized inverse partitioned wishart distributions","volume":"99","author":"Bodnar","year":"2008","journal-title":"J. Multivariate Anal."},{"issue":"3","key":"10.1016\/j.jmva.2016.05.011_br000125","first-page":"117","article-title":"Understanding and comparing factor-based forecasts","volume":"1","author":"Boivin","year":"2005","journal-title":"Int. J. Cent. Bank."},{"issue":"3","key":"10.1016\/j.jmva.2016.05.011_br000130","doi-asserted-by":"crossref","first-page":"1496","DOI":"10.1214\/11-AOS879","article-title":"Limiting laws of coherence of random matrices with applications to testing covariance structure and construction of compressed sensing matrices","volume":"39","author":"Cai","year":"2011","journal-title":"Ann. Statist."},{"issue":"494","key":"10.1016\/j.jmva.2016.05.011_br000135","doi-asserted-by":"crossref","first-page":"672","DOI":"10.1198\/jasa.2011.tm10560","article-title":"Adaptive thresholding for sparse covariance matrix estimation","volume":"106","author":"Cai","year":"2011","journal-title":"J. Amer. Statist. Assoc."},{"issue":"494","key":"10.1016\/j.jmva.2016.05.011_br000140","doi-asserted-by":"crossref","first-page":"594","DOI":"10.1198\/jasa.2011.tm10155","article-title":"A constrained l1 minimization approach to sparse precision matrix estimation","volume":"106","author":"Cai","year":"2011","journal-title":"J. Amer. Statist. Assoc."},{"issue":"484","key":"10.1016\/j.jmva.2016.05.011_br000145","doi-asserted-by":"crossref","first-page":"1438","DOI":"10.1198\/016214508000000869","article-title":"High-dimensional sparse factor modeling: applications in gene expression genomics","volume":"103","author":"Carvalho","year":"2008","journal-title":"J. Amer. Statist. Assoc."},{"issue":"1","key":"10.1016\/j.jmva.2016.05.011_br000150","doi-asserted-by":"crossref","first-page":"185","DOI":"10.1016\/0022-0531(83)90129-1","article-title":"A characterization of the distributions that imply mean\u2013variance utility functions","volume":"29","author":"Chamberlain","year":"1983","journal-title":"J. Econom. Theory"},{"issue":"5","key":"10.1016\/j.jmva.2016.05.011_br000155","doi-asserted-by":"crossref","first-page":"1305","DOI":"10.2307\/1912276","article-title":"Funds, factors, and diversification in arbitrage pricing models","volume":"51","author":"Chamberlain","year":"1983","journal-title":"Econometrica"},{"issue":"5","key":"10.1016\/j.jmva.2016.05.011_br000160","doi-asserted-by":"crossref","first-page":"1281","DOI":"10.2307\/1912275","article-title":"Arbitrage, factor structure in arbitrage pricing models","volume":"51","author":"Chamberlain","year":"1983","journal-title":"Econometrica"},{"issue":"490","key":"10.1016\/j.jmva.2016.05.011_br000165","doi-asserted-by":"crossref","first-page":"810","DOI":"10.1198\/jasa.2010.tm09560","article-title":"Tests for high-dimensional covariance matrices","volume":"105","author":"Chen","year":"2010","journal-title":"J. Amer. Statist. Assoc."},{"year":"2008","series-title":"Asymptotic Theory of Statistics and Probability","author":"DasGupta","key":"10.1016\/j.jmva.2016.05.011_br000170"},{"key":"10.1016\/j.jmva.2016.05.011_br000175","series-title":"Time Series Analysis and Forecasting","isbn-type":"print","doi-asserted-by":"crossref","DOI":"10.1007\/978-3-319-28725-6_3","article-title":"Simultaneous Statistical Inference in Dynamic Factor Models","author":"Dickhaus","year":"2016","ISBN":"http:\/\/id.crossref.org\/isbn\/9783319287232"},{"issue":"1","key":"10.1016\/j.jmva.2016.05.011_br000180","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1002\/jae.3950040102","article-title":"The dynamics of exchange rate volatility: a multivariate latent factor arch model","volume":"4","author":"Diebold","year":"1989","journal-title":"J. Appl. Econometrics"},{"year":"2007","series-title":"Multivariate statistics. A vector space approach","author":"Eaton","key":"10.1016\/j.jmva.2016.05.011_br000185"},{"issue":"376","key":"10.1016\/j.jmva.2016.05.011_br000190","doi-asserted-by":"crossref","first-page":"774","DOI":"10.1080\/01621459.1981.10477720","article-title":"A one-factor multivariate time series model of metropolitan wage rates","volume":"76","author":"Engle","year":"1981","journal-title":"J. Amer. Statist. Assoc."},{"year":"1976","series-title":"Foundations of Finance","author":"Fama","key":"10.1016\/j.jmva.2016.05.011_br000195"},{"issue":"2","key":"10.1016\/j.jmva.2016.05.011_br000200","doi-asserted-by":"crossref","first-page":"427","DOI":"10.1111\/j.1540-6261.1992.tb04398.x","article-title":"The cross-section of expected stock returns","volume":"47","author":"Fama","year":"1992","journal-title":"J. Finance"},{"issue":"1","key":"10.1016\/j.jmva.2016.05.011_br000205","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1016\/0304-405X(93)90023-5","article-title":"Common risk factors in the returns on stocks and bonds","volume":"33","author":"Fama","year":"1993","journal-title":"J. Financ. Econ."},{"issue":"1","key":"10.1016\/j.jmva.2016.05.011_br000210","doi-asserted-by":"crossref","first-page":"186","DOI":"10.1016\/j.jeconom.2008.09.017","article-title":"High dimensional covariance matrix estimation using a factor model","volume":"147","author":"Fan","year":"2008","journal-title":"J. Econometrics"},{"issue":"499","key":"10.1016\/j.jmva.2016.05.011_br000215","doi-asserted-by":"crossref","first-page":"1019","DOI":"10.1080\/01621459.2012.720478","article-title":"Estimating false discovery proportion under arbitrary covariance dependence","volume":"107","author":"Fan","year":"2012","journal-title":"J. Amer. Statist. Assoc."},{"issue":"4","key":"10.1016\/j.jmva.2016.05.011_br000220","doi-asserted-by":"crossref","first-page":"603","DOI":"10.1111\/rssb.12016","article-title":"Large covariance estimation by thresholding principal orthogonal complements","volume":"75","author":"Fan","year":"2013","journal-title":"J. R. Stat. Soc. Ser. B Stat. Methodol."},{"issue":"498","key":"10.1016\/j.jmva.2016.05.011_br000225","doi-asserted-by":"crossref","first-page":"592","DOI":"10.1080\/01621459.2012.682825","article-title":"Vast portfolio selection with gross-exposure constraints","volume":"107","author":"Fan","year":"2012","journal-title":"J. Amer. Statist. Assoc."},{"issue":"5","key":"10.1016\/j.jmva.2016.05.011_br000230","doi-asserted-by":"crossref","first-page":"603","DOI":"10.1002\/jae.815","article-title":"Principal components at work: the empirical analysis of monetary policy with large data sets","volume":"20","author":"Favero","year":"2005","journal-title":"J. Appl. Econometrics"},{"issue":"488","key":"10.1016\/j.jmva.2016.05.011_br000235","doi-asserted-by":"crossref","first-page":"1406","DOI":"10.1198\/jasa.2009.tm08332","article-title":"A factor model approach to multiple testing under dependence","volume":"104","author":"Friguet","year":"2009","journal-title":"J. Amer. Statist. Assoc."},{"issue":"1","key":"10.1016\/j.jmva.2016.05.011_br000240","doi-asserted-by":"crossref","first-page":"257","DOI":"10.1016\/j.jeconom.2005.01.030","article-title":"Vars, common factors and the empirical validation of equilibrium business cycle models","volume":"132","author":"Giannone","year":"2006","journal-title":"J. Econometrics"},{"issue":"5","key":"10.1016\/j.jmva.2016.05.011_br000245","doi-asserted-by":"crossref","first-page":"1121","DOI":"10.2307\/1913625","article-title":"A test of the efficiency of a given portfolio","volume":"57","author":"Gibbons","year":"1989","journal-title":"Econometrica"},{"key":"10.1016\/j.jmva.2016.05.011_br000250","doi-asserted-by":"crossref","first-page":"176","DOI":"10.1016\/j.jmva.2013.12.007","article-title":"An exact test about the covariance matrix","volume":"125","author":"Gupta","year":"2014","journal-title":"J. Multivariate Anal."},{"year":"2000","series-title":"Matrix Variate Distributions","author":"Gupta","key":"10.1016\/j.jmva.2016.05.011_br000255"},{"year":"2013","series-title":"Elliptically Contoured Models in Statistics and Portfolio Theory","author":"Gupta","key":"10.1016\/j.jmva.2016.05.011_br000260"},{"issue":"478","key":"10.1016\/j.jmva.2016.05.011_br000265","doi-asserted-by":"crossref","first-page":"603","DOI":"10.1198\/016214506000001275","article-title":"Determining the number of factors in the general dynamic factor model","volume":"102","author":"Hallin","year":"2007","journal-title":"J. Amer. Statist. Assoc."},{"year":"1997","series-title":"Matrix Algebra from a Statistician\u2019s Perspective","author":"Harville","key":"10.1016\/j.jmva.2016.05.011_br000270"},{"issue":"6","key":"10.1016\/j.jmva.2016.05.011_br000275","doi-asserted-by":"crossref","first-page":"617","DOI":"10.1002\/jae.646","article-title":"Testing the capital asset pricing model efficiently under elliptical symmetry: A semiparametric approach","volume":"17","author":"Hodgson","year":"2002","journal-title":"J. Appl. Econometrics"},{"issue":"4","key":"10.1016\/j.jmva.2016.05.011_br000280","doi-asserted-by":"crossref","first-page":"2029","DOI":"10.1214\/13-AOS1134","article-title":"Central limit theorems for classical likelihood ratio tests for high-dimensional normal distributions","volume":"41","author":"Jiang","year":"2013","journal-title":"Ann. Statist."},{"issue":"2","key":"10.1016\/j.jmva.2016.05.011_br000285","doi-asserted-by":"crossref","first-page":"295","DOI":"10.1214\/aos\/1009210544","article-title":"On the distribution of the largest eigenvalue in principal components analysis","volume":"29","author":"Johnstone","year":"2001","journal-title":"Ann. Statist."},{"issue":"3","key":"10.1016\/j.jmva.2016.05.011_br000290","doi-asserted-by":"crossref","first-page":"397","DOI":"10.1198\/jbes.2009.07239","article-title":"A testing procedure for determining the number of factors in approximate factor models with large datasets","volume":"28","author":"Kapetanios","year":"2010","journal-title":"J. Bus. Econom. Statist."},{"issue":"5","key":"10.1016\/j.jmva.2016.05.011_br000295","doi-asserted-by":"crossref","first-page":"603","DOI":"10.1016\/S0927-5398(03)00007-0","article-title":"Improved estimation of the covariance matrix of stock returns with an application to portfolio selection","volume":"10","author":"Ledoit","year":"2003","journal-title":"J. Empir. Finance"},{"key":"10.1016\/j.jmva.2016.05.011_br000300","unstructured":"H. Li, Q. Li, Y. Shi, Determining the number of factors when the number of factors can increase with sample size. Manuscript, 2013."},{"issue":"4","key":"10.1016\/j.jmva.2016.05.011_br000305","first-page":"587","article-title":"Security prices, risk, and maximal gains from diversification","volume":"20","author":"Lintner","year":"1965","journal-title":"J. Finance"},{"year":"1996","series-title":"Handbook of Matrices","author":"L\u00fctkepohl","key":"10.1016\/j.jmva.2016.05.011_br000310"},{"issue":"1","key":"10.1016\/j.jmva.2016.05.011_br000315","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1016\/S0014-2921(02)00206-4","article-title":"Macroeconomic forecasting in the euro area: Country specific versus area-wide information","volume":"47","author":"Marcellino","year":"2003","journal-title":"Eur. Econ. Rev."},{"key":"10.1016\/j.jmva.2016.05.011_br000320","unstructured":"H.M. Markowitz, Portfolio selection: Efficient diversification of investments, 1959."},{"issue":"2","key":"10.1016\/j.jmva.2016.05.011_br000325","doi-asserted-by":"crossref","first-page":"469","DOI":"10.1111\/j.1540-6261.1991.tb02669.x","article-title":"Foundations of portfolio theory","volume":"46","author":"Markowitz","year":"1991","journal-title":"J. Finance"},{"issue":"5","key":"10.1016\/j.jmva.2016.05.011_br000330","doi-asserted-by":"crossref","first-page":"867","DOI":"10.2307\/1913811","article-title":"An intertemporal capital asset pricing model","volume":"41","author":"Merton","year":"1973","journal-title":"Econometrica"},{"year":"1982","series-title":"Aspects of Multivariate Statistical Theory","author":"Muirhead","key":"10.1016\/j.jmva.2016.05.011_br000335"},{"issue":"4","key":"10.1016\/j.jmva.2016.05.011_br000340","doi-asserted-by":"crossref","first-page":"1004","DOI":"10.1162\/REST_a_00043","article-title":"Determining the number of factors from empirical distribution of eigenvalues","volume":"92","author":"Onatski","year":"2010","journal-title":"Rev. Econ. Stat."},{"issue":"3","key":"10.1016\/j.jmva.2016.05.011_br000345","doi-asserted-by":"crossref","first-page":"745","DOI":"10.1111\/j.1540-6261.1983.tb02499.x","article-title":"On the class of elliptical distributions and their applications to the theory of portfolio choice","volume":"38","author":"Owen","year":"1983","journal-title":"J. Finance"},{"issue":"8","key":"10.1016\/j.jmva.2016.05.011_br000350","doi-asserted-by":"crossref","first-page":"2955","DOI":"10.1016\/j.spa.2015.02.008","article-title":"Nonparametric test for a constant beta over a fixed time interval","volume":"125","author":"Rei\u00df","year":"2015","journal-title":"Stochastic Process. Appl."},{"year":"2002","series-title":"Methods of Multivariate Analysis","author":"Rencher","key":"10.1016\/j.jmva.2016.05.011_br000355"},{"issue":"3","key":"10.1016\/j.jmva.2016.05.011_br000360","doi-asserted-by":"crossref","first-page":"341","DOI":"10.1016\/0022-0531(76)90046-6","article-title":"The arbitrage theory of capital asset pricing","volume":"13","author":"Ross","year":"1976","journal-title":"J. Econom. Theory"},{"issue":"1","key":"10.1016\/j.jmva.2016.05.011_br000365","doi-asserted-by":"crossref","first-page":"177","DOI":"10.1111\/j.1540-6261.1977.tb03251.x","article-title":"The capital asset pricing model capm, short-sale restrictions and related issues","volume":"32","author":"Ross","year":"1977","journal-title":"J. Finance"},{"issue":"1","key":"10.1016\/j.jmva.2016.05.011_br000370","doi-asserted-by":"crossref","first-page":"69","DOI":"10.1007\/BF02293851","article-title":"Em algorithms for ml factor analysis","volume":"47","author":"Rubin","year":"1982","journal-title":"Psychometrika"},{"issue":"3","key":"10.1016\/j.jmva.2016.05.011_br000375","doi-asserted-by":"crossref","first-page":"C65","DOI":"10.1111\/j.1368-423X.2009.00295.x","article-title":"The econometrics of mean\u2013variance efficiency tests: a survey","volume":"12","author":"Sentana","year":"2009","journal-title":"Econom. J."},{"issue":"1","key":"10.1016\/j.jmva.2016.05.011_br000380","doi-asserted-by":"crossref","first-page":"269","DOI":"10.1111\/j.1540-6261.1986.tb04506.x","article-title":"Testing portfolio efficiency when the zero-beta rate is unknown: A note","volume":"41","author":"Shanken","year":"1986","journal-title":"J. Finance"},{"issue":"1","key":"10.1016\/j.jmva.2016.05.011_br000385","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1093\/rfs\/5.1.1","article-title":"On the estimation of beta-pricing models","volume":"5","author":"Shanken","year":"1992","journal-title":"Rev. Financ. Stud."},{"issue":"1","key":"10.1016\/j.jmva.2016.05.011_br000390","doi-asserted-by":"crossref","first-page":"40","DOI":"10.1016\/j.jfineco.2006.02.003","article-title":"Estimating and testing beta pricing models: Alternative methods and their performance in simulations","volume":"84","author":"Shanken","year":"2007","journal-title":"J. Financ. Econ."},{"issue":"3","key":"10.1016\/j.jmva.2016.05.011_br000395","first-page":"425","article-title":"Capital asset prices: A theory of market equilibrium under conditions of risk","volume":"19","author":"Sharpe","year":"1964","journal-title":"J. Finance"},{"issue":"460","key":"10.1016\/j.jmva.2016.05.011_br000400","doi-asserted-by":"crossref","first-page":"1167","DOI":"10.1198\/016214502388618960","article-title":"Forecasting using principal components from a large number of predictors","volume":"97","author":"Stock","year":"2002","journal-title":"J. Amer. Statist. Assoc."},{"issue":"2","key":"10.1016\/j.jmva.2016.05.011_br000405","doi-asserted-by":"crossref","first-page":"147","DOI":"10.1198\/073500102317351921","article-title":"Macroeconomic forecasting using diffusion indexes","volume":"20","author":"Stock","year":"2002","journal-title":"J. Bus. Econom. Statist."},{"key":"10.1016\/j.jmva.2016.05.011_br000410","doi-asserted-by":"crossref","first-page":"385","DOI":"10.1016\/j.jfineco.2003.05.003","article-title":"Data-generating process uncertainty: what difference does it make in portfolio decisions?","volume":"72","author":"Tu","year":"2004","journal-title":"J. Financ. Econ."},{"issue":"3","key":"10.1016\/j.jmva.2016.05.011_br000415","doi-asserted-by":"crossref","first-page":"219","DOI":"10.1016\/S0927-5398(99)00002-X","article-title":"Testing multi-beta asset pricing models","volume":"6","author":"Velu","year":"1999","journal-title":"J. Empir. Finance"},{"issue":"5","key":"10.1016\/j.jmva.2016.05.011_br000420","doi-asserted-by":"crossref","first-page":"1927","DOI":"10.1111\/j.1540-6261.1993.tb05134.x","article-title":"Asset-pricing tests under alternative distributions","volume":"48","author":"Zhou","year":"1993","journal-title":"J. Finance"}],"container-title":["Journal of Multivariate Analysis"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.elsevier.com\/content\/article\/PII:S0047259X16300392?httpAccept=text\/xml","content-type":"text\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.elsevier.com\/content\/article\/PII:S0047259X16300392?httpAccept=text\/plain","content-type":"text\/plain","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2024,6,17]],"date-time":"2024-06-17T09:26:55Z","timestamp":1718616415000},"score":1,"resource":{"primary":{"URL":"https:\/\/linkinghub.elsevier.com\/retrieve\/pii\/S0047259X16300392"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2016,9]]},"references-count":84,"alternative-id":["S0047259X16300392"],"URL":"https:\/\/doi.org\/10.1016\/j.jmva.2016.05.011","relation":{},"ISSN":["0047-259X"],"issn-type":[{"type":"print","value":"0047-259X"}],"subject":[],"published":{"date-parts":[[2016,9]]},"assertion":[{"value":"Elsevier","name":"publisher","label":"This article is maintained by"},{"value":"Exact and asymptotic tests on a factor model in low and large dimensions with applications","name":"articletitle","label":"Article Title"},{"value":"Journal of Multivariate Analysis","name":"journaltitle","label":"Journal Title"},{"value":"https:\/\/doi.org\/10.1016\/j.jmva.2016.05.011","name":"articlelink","label":"CrossRef DOI link to publisher maintained version"},{"value":"article","name":"content_type","label":"Content Type"},{"value":"\u00a9 2016 Elsevier Inc.","name":"copyright","label":"Copyright"}]}}