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Found 4 papers, 1 papers with code
Enlargement of Filtrations: An Exposition of Core Ideas with Financial Examples
In this paper we provide an exhaustive survey of the current state of the mathematics of filtration enlargement and an interpretation of the key results of the literature from the viewpoint of mathematical finance.
Time-Invariance Coefficients Tests with the Adaptive Multi-Factor Model
We show that for nearly all time periods with length less than 6 years, the beta coefficients are time-invariant for the AMF model, but not for the FF5 model.
The Low-volatility Anomaly and the Adaptive Multi-Factor Model
The paper provides a new explanation of the low-volatility anomaly.
High-Dimensional Estimation, Basis Assets, and the Adaptive Multi-Factor Model
The paper proposes a new algorithm for the high-dimensional financial data -- the Groupwise Interpretable Basis Selection (GIBS) algorithm, to estimate a new Adaptive Multi-Factor (AMF) asset pricing model, implied by the recently developed Generalized Arbitrage Pricing Theory, which relaxes the convention that the number of risk-factors is small.
