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Estimation of Characteristics-Based Quantile Factor Models

https://doi.org/10.2139/ssrn.4873356
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Probability in Banach Spaces: Isoperimetry and Processes
inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-extracted
Common risk factors in the returns on stocks and bonds
inferredcites →https://doi.org/10.1016/j.jeconom.2012.02.007openalex-extracted
Asymptotics for panel quantile regression models with individual effects
inferredcites →https://doi.org/10.1016/j.jeconom.2015.08.001openalex-extracted
Series estimation under cross-sectional dependence
inferredcites →https://doi.org/10.1016/j.jeconom.2020.07.003openalex-extracted
Estimation and inference in semiparametric quantile factor models
inferredcites →https://doi.org/10.1016/j.jempfin.2006.10.001openalex-extracted
Semiparametric estimation of a characteristic-based factor model of common stock returns
inferredcites →https://doi.org/10.1016/j.jfineco.2014.10.010openalex-extracted
A five-factor asset pricing model
inferredcites →https://doi.org/10.1016/j.jmva.2012.10.007openalex-extracted
Consistency of sparse PCA in High Dimension, Low Sample Size contexts
inferredcites →https://doi.org/10.1016/s0304-4076(97)00011-0openalex-extracted
Convergence rates and asymptotic normality for series estimators
inferredcites →https://doi.org/10.1016/s1573-4412(07)06076-xopenalex-extracted
Chapter 76 Large Sample Sieve Estimation of Semi-Nonparametric Models
inferredcites →https://doi.org/10.1111/0022-1082.00144openalex-extracted
Presidential Address: Expected Return, Realized Return, and Asset Pricing Tests
inferredcites →https://doi.org/10.1111/1468-0262.00273openalex-extracted
Determining the Number of Factors in Approximate Factor Models
inferredcites →https://doi.org/10.1111/1468-0262.00392openalex-extracted
Inferential Theory for Factor Models of Large Dimensions
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04754.xopenalex-extracted
A Test for the Number of Factors in an Approximate Factor Model
inferredcites →https://doi.org/10.1146/annurev-financial-091420-011735openalex-extracted
Recent Developments in Factor Models and Applications in Econometric Learning
inferredcites →https://doi.org/10.1198/016214502388618960openalex-extracted
Forecasting Using Principal Components From a Large Number of Predictors
inferredcites →https://doi.org/10.1198/016214505000000583openalex-extracted
Nonparametric Estimation of an Additive Quantile Regression Model
inferredcites →https://doi.org/10.1214/09-aos709openalex-extracted
PCA consistency in high dimension, low sample size context
inferredcites →https://doi.org/10.1920/wp.cem.2004.0704openalex-extracted
Nonparametric estimation of an additive quantile regression model
inferredcites →https://doi.org/10.2307/1912275openalex-extracted
Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
inferredcites →https://doi.org/10.2307/2330104openalex-extracted
Extra-Market Components of Covariance in Security Returns
inferredcites →https://doi.org/10.2307/2998559openalex-extracted
Sieve Extremum Estimates for Weakly Dependent Data
inferredcites →https://doi.org/10.3982/ecta14667openalex-extracted
Errors in the Dependent Variable of Quantile Regression Models
inferredcites →https://doi.org/10.3982/ecta15746openalex-extracted
Quantile Factor Models
inferredcites →https://doi.org/10.3982/ecta7432openalex-extracted
Efficient Semiparametric Estimation of the Fama-French Model and Extensions
inferredcites →https://doi.org/10.3982/ecta8968openalex-extracted
Eigenvalue Ratio Test for the Number of Factors
inferredcites →https://doi.org/10.2139/ssrn.3730468openalex-snapshot
Quantile Factor Models
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