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We present the asymptotic properties of double-stage quantile regressionestimators with random regressors, where the first stage is based on quantile regressionswith the same quantile as in the second stage, which ensures robustness of the estimationprocedure. We derive invariance properties...
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estimation of factor modelsto unveil the five latent (unobservable) "strategies" that underlie theperformance of the hedge fund …
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