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Estimation of characteristics-based quantile factor models

https://doi.org/10.1016/j.jeconom.2026.106267
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24/24 checkable references clean · checked 2026-08-09

Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.

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The 24 checked references that resolve
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Eigenvalue Ratio Test for the Number of Factors
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Inferential Theory for Factor Models of Large Dimensions
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Determining the Number of Factors in Approximate Factor Models
resolves10.2307/1912275
Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
resolves10.3982/ECTA15746
Quantile Factor Models
resolves10.3982/ECTA7432
Efficient Semiparametric Estimation of the Fama-French Model and Extensions
resolves10.1111/j.1540-6261.1993.tb04754.x
A Test for the Number of Factors in an Approximate Factor Model
resolves10.1016/j.jempfin.2006.10.001
Semiparametric estimation of a characteristic-based factor model of common stock returns
resolves10.1111/j.1540-6261.1997.tb03806.x
Evidence on the Characteristics of Cross Sectional Variation in Stock Returns
resolves10.1111/0022-1082.00144
Presidential Address: Expected Return, Realized Return, and Asset Pricing Tests
resolves10.1016/0304-405X(93)90023-5
Common risk factors in the returns on stocks and bonds
resolves10.1016/j.jfineco.2014.10.010
A five-factor asset pricing model
resolves10.1146/annurev-financial-091420-011735
Recent Developments in Factor Models and Applications in Econometric Learning
resolves10.1214/15-AOS1364
Projected principal component analysis in factor models
resolves10.1017/S0266466623000129
NUCLEAR NORM REGULARIZED QUANTILE REGRESSION WITH INTERACTIVE FIXED EFFECTS
resolves10.3982/ECTA14667
Errors in the Dependent Variable of Quantile Regression Models
resolves10.1198/016214505000000583
Nonparametric Estimation of an Additive Quantile Regression Model
resolves10.1214/09-AOS709
PCA consistency in high dimension, low sample size context
resolves10.1016/j.jeconom.2012.02.007
Asymptotics for panel quantile regression models with individual effects
resolves10.1016/j.jeconom.2015.08.001
Series estimation under cross-sectional dependence
resolves10.1016/j.jeconom.2020.07.003
Estimation and inference in semiparametric quantile factor models
resolves10.2307/2330104
Extra-Market Components of Covariance in Security Returns
resolves10.1016/j.jmva.2012.10.007
Consistency of sparse PCA in High Dimension, Low Sample Size contexts
resolves10.1198/016214502388618960
Forecasting Using Principal Components From a Large Number of Predictors
The 3 references without a DOI — listed, not checked
no DOI — not checkedChen, S., Feng, J., 2025. Robust quantile factor analysis. arXiv: 2501.15761.
no DOI — not checkedLarge sample sieve estimation of semi-nonparametric models
no DOI — not checkedOn the Optimality of Cross-Validated Series Quantile Estimators
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