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randomized-testing

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End-to-End Python implementation of Massacci et al.'s (2025) novel Randomized Alpha Test for high-dimensional factor models. Features robust OLS estimation, Extreme Value Theory-based inference, Monte Carlo simulation engine, and rolling-window empirical analysis. Handles N>T panels with non-Gaussian, heteroskedastic returns.

  • Updated Jul 26, 2025
  • Jupyter Notebook

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