Asset Pricing Outliers
The article discusses how using a Minimum Covariance Determinant estimator improves the performance of stochastic discount factor models by handling multivariate outliers effectively.
Featured in No. 9 on 26 Jul 2023 · 5 days after release
- Released
- 21 Jul 2023
- First featured
- No. 9 · 26 Jul 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 5
- Identifier
- SSRN 4517498
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).