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This paper provides a selective overview on the recent development of factor models and their applications in econometric learning. We focus on the perspective of the low-rank structure of factor models, and particularly draws attentions to estimating the model from the low-rank recovery point...
Persistent link: https://www.econbiz.de/10012822829
This paper introduces a Projected Principal Component Analysis (Projected-PCA), which is based on the projection of the data matrix onto a given linear space before performing the principal component analysis. When it applies to high-dimensional factor analysis, the projection removes...
Persistent link: https://www.econbiz.de/10013052519
This article provides a selective overview of the recent developments in factor models and their applications in econometric learning. We focus on the perspective of the low-rank structure of factor models and particularly draw attention to estimating the model from the low-rank recovery point...
Persistent link: https://www.econbiz.de/10013321975
Estimating and assessing the risk of a large portfolio is an important topic in financial econometrics and risk management. The risk is often estimated by a substitution of a good estimator of the volatility matrix. However, the accuracy of such a risk estimator for large portfolios is largely...
Persistent link: https://www.econbiz.de/10010607826
Persistent link: https://www.econbiz.de/10010164028
Estimations and applications of factor models often rely on the crucial condition that the number of latent factors is consistently estimated, which in turn also requires that factors be relatively strong, data are stationary and weak serial dependence, and the sample size be fairly large,...
Persistent link: https://www.econbiz.de/10012847950
We study factor models augmented by observed covariates that have explanatory powers on the unknown factors. In financial factor models, the unknown factors can be reasonably well explained by a few observable proxies, such as the Fama-French factors. In diffusion index forecasts, identified...
Persistent link: https://www.econbiz.de/10014128414
We develop new structural nonparametric methods for estimating conditional asset pricing models using deep neural networks. Our method is guided by economic theory and employs time-varying conditional information on alphas and betas carried by firm-specific characteristics. Contrary to many...
Persistent link: https://www.econbiz.de/10013406180
Most papers on high-dimensional statistics are based on the assumption that none of the regressors are correlated with the regression error, namely, they are exogeneous. Yet, endogeneity arises easily in high-dimensional regression due to a large pool of regressors and this causes the...
Persistent link: https://www.econbiz.de/10014170276
Persistent link: https://www.econbiz.de/10010713427