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Quantile Factor Models
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
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Generalized Principal Component Analysis
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On Hoeffding’s Inequality for Dependent Random Variables
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Weak Convergence and Empirical Processes
inferredcites →https://doi.org/10.1016/0304-4076(84)90004-6openalex-snapshot
Least absolute deviations estimation for the censored regression model
inferredcites →https://doi.org/10.1016/j.jeconom.2013.03.007openalex-snapshot
Principal components estimation and identification of static factors
inferredcites →https://doi.org/10.1016/j.jeconom.2015.02.004openalex-snapshot
VAR for VaR: Measuring tail dependence using multivariate regression quantiles
inferredcites →https://doi.org/10.1016/j.jeconom.2016.01.008openalex-snapshot
Smoothed Quantile Regression for Panel Data
inferredcites →https://doi.org/10.1016/j.jeconom.2016.12.004openalex-snapshot
On time-varying factor models: Estimation and testing
inferredcites →https://doi.org/10.1016/j.jeconom.2019.04.021openalex-snapshot
Rank regularized estimation of approximate factor models
inferredcites →https://doi.org/10.1016/j.jeconom.2020.04.004openalex-snapshot
Nonlinear factor models for network and panel data
inferredcites →https://doi.org/10.1016/j.jfineco.2015.09.010openalex-snapshot
The common factor in idiosyncratic volatility: Quantitative asset pricing implications
inferredcites →https://doi.org/10.1016/j.jmoneco.2017.09.004openalex-snapshot
Level and volatility factors in macroeconomic data
inferredcites →https://doi.org/10.1037/h0071325openalex-snapshot
Analysis of a complex of statistical variables into principal components.
inferredcites →https://doi.org/10.1080/01621459.2018.1543598openalex-snapshot
Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
inferredcites →https://doi.org/10.1080/07350015.2015.1086655openalex-snapshot
FRED-MD: A Monthly Database for Macroeconomic Research
inferredcites →https://doi.org/10.1080/07350015.2018.1505631openalex-snapshot
Is a Normal Copula the Right Copula?
inferredcites →https://doi.org/10.1111/1467-9868.00391openalex-snapshot
Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
inferredcites →https://doi.org/10.1111/1468-0262.00273openalex-snapshot
Determining the Number of Factors in Approximate Factor Models
inferredcites →https://doi.org/10.1111/1468-0262.00392openalex-snapshot
Inferential Theory for Factor Models of Large Dimensions
inferredcites →https://doi.org/10.1111/ectj.12047openalex-snapshot
Generalized dynamic factor models and volatilities: recovering the market volatility shocks
inferredcites →https://doi.org/10.1111/j.1468-0262.2006.00671.xopenalex-snapshot
Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure
inferredcites →https://doi.org/10.1111/j.1468-0262.2006.00692.xopenalex-snapshot
Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00836.xopenalex-snapshot
The Cross‐Section of Volatility and Expected Returns
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Robust principal component analysis?
inferredcites →https://doi.org/10.1146/annurev-economics-080217-053433openalex-snapshot
Machine Learning Methods That Economists Should Know About
inferredcites →https://doi.org/10.1162/003465300559037openalex-snapshot
The Generalized Dynamic-Factor Model: Identification and Estimation
inferredcites →https://doi.org/10.1198/016214502388618960openalex-snapshot
Forecasting Using Principal Components From a Large Number of Predictors
inferredcites →https://doi.org/10.1214/09-aos706openalex-snapshot
Nonlinear principal components and long-run implications of multivariate diffusions
inferredcites →https://doi.org/10.1214/17-aos1588openalex-snapshot
Large covariance estimation through elliptical factor models
inferredcites →https://doi.org/10.1214/aos/1176346523openalex-snapshot
Smooth Optimum Kernel Estimators of Densities, Regression Curves and Modes
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Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
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Bootstrap Methods for Median Regression Models
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A One Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models
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Dynamic Quantile Models of Rational Behavior
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Panel Data Models With Interactive Fixed Effects
inferredcites →https://doi.org/10.3982/ecta8968openalex-snapshot
Eigenvalue Ratio Test for the Number of Factors
inferredcites →https://doi.org/10.48550/arxiv.1805.03373openalex-snapshot
Interpretable Sparse Proximate Factors for Large Dimensions
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
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Introduction to the special issue in honor of Juan Jose Dolado
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Real-time macroeconomic quantile factors for daily Value-at-Risk and Expected Shortfall forecasting: Statistical significance and economic value
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Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity
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A Spatial Panel Quantile Model with Unobserved Heterogeneity
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Binary response models for heterogeneous panel data with interactive fixed effects
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Monitoring multi-country macroeconomic risk: A quantile factor-augmented vector autoregressive (QFAVAR) approach
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Spanning latent and observable factors
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Huber Principal Component Analysis for large-dimensional factor models
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Inference for large dimensional factor models under general missing data patterns
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Quantile approach to intertemporal consumption with multiple assets
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Estimation and inference for large-dimensional generalized matrix factor models
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MCA: High-dimensional modal component analysis towards the mode
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Higher-moments-robust monetary policy shocks
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Big portfolio selection by graph-based conditional moments method
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Robust factorization for high-dimensional matrix-variate observations
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Estimation of tensor factor model by iterative least squares
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Robust factor analysis with exponential squared loss
inferred← citeshttps://doi.org/10.1016/j.knosys.2023.111263openalex-snapshot
Causal relationship analysis of high-dimensional time series based on quantile factor model
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State-dependent pricing of monetary policy nonlinearities and inflation at risk for China
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Common Idiosyncratic Quantile Factors and Asset Prices
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TWO-STEP ESTIMATION OF QUANTILE PANEL DATA MODELS WITH INTERACTIVE FIXED EFFECTS
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NUCLEAR NORM REGULARIZED QUANTILE REGRESSION WITH INTERACTIVE FIXED EFFECTS
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CCE Estimation of Heterogeneous Panel Quantile Regression Models with Relatively Small T
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