In this paper, we consider the estimation of break points in high-dimensional factor models where the unobserved factors are estimated by principal component analysis (PCA). The factor loading matrix is assumed to have a structural break at an unknown time. We establish the conditions under...

This paper introduces a new procedure for clustering a large number of financial time series based on high-dimensional panel data with grouped factor structures. The proposed method attempts to capture the level of similarity of each of the time series based on sensitivity to observable risk...

In this paper, we provide the asymptotic theory for the widely used Fama and MacBeth (1973) two-pass regression in the usual case of a large number of assets. We find that the convergence of the OLS two-pass estimator depends critically on the time series sample size in addition to the number of...

We consider the problem of testing for slope homogeneity in high-dimensional panel data models with cross-sectionally correlated errors. We consider a Swamy-type test for slope homogeneity by incorporating interactive fixed effects. We show that the proposed test statistic is asymptotically...

This paper introduces a new procedure for analyzing the quantile co-movement of a large number of financial time series based on a large-scale panel data model with factor structures. The proposed method attempts to capture the unobservable heterogeneity of each of the financial time series...