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Estimation risk and shrinkage in vast-dimensional fundamental factor models

Vlodrop, Andries C. van; Lucas, André - 2018

We investigate covariance matrix estimation in vast-dimensional spaces of 1,500 up to 2,000 stocks using fundamental factor models (FFMs). FFMs are the typical benchmark in the asset management industry and depart from the usual statistical factor models and the factor models with observed...

Persistent link: https://www.econbiz.de/10011949129

Testing endogeneity with high dimensional covariates

Guo, Zijian; Kang, Hyunseung; Cai, T. Tony; Small, Dylan S. - In: Journal of econometrics 207 (2018) 1, pp. 175-187

Persistent link: https://www.econbiz.de/10012116193

Dynamic treatment effects

Heckman, James J.; Humphries, John Eric; Veramendi, Gregory - In: Journal of econometrics 191 (2016) 2, pp. 276-292

Persistent link: https://www.econbiz.de/10011610524

CVaR regression based on the relation between CVaR and mixed-quantile quadrangles

Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 12 (2019) 3/107, pp. 1-22

A popular risk measure, conditional value-at-risk (CVaR), is called expected shortfall (ES) in financial applications. The research presented involved developing algorithms for the implementation of linear regression for estimating CVaR as a function of some factors. Such regression is called...

Persistent link: https://www.econbiz.de/10012025262

Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation

Callot, Laurent; Kristensen, Johannes Tang - 2015

high dimensional by construction and sparse by assumption, is estimated using the Lasso. We apply this method to the …

Persistent link: https://www.econbiz.de/10010532582

Estimating global bank network connectedness

Demirer, Mert; Diebold, Francis X.; Liu, Laura; … - 2015

We use lasso methods to shrink, select and estimate the network linking the publicly-traded subset of the world's top …

Persistent link: https://www.econbiz.de/10011309448

Vector autoregressions with parsimoniously time varying parameters and an application to monetary policy

Callot, Laurent; Kristensen, Johannes Tang - 2014

) and studies the properties of the Lasso and adaptive Lasso as estimators of this model. The parameters of the model are … finite sample properties of the Lasso by deriving upper bounds on the estimation and prediction errors that are valid with … of non zero increments grows slower than √T . By simulation experiments we investigate the properties of the Lasso and …

Persistent link: https://www.econbiz.de/10010433901