Estimation of characteristics-based quantile factor models

DOI10.1016/J.JECONOM.2026.106267MaRDI QIDQ7296582zbMATH OpenFDO

Authors Liang Chen, Juan J. Dolado, Jesús Gonzalo, Haozi Pan

Publication date 14 July 2026

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2026.106267

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Asymptotics for panel quantile regression models with individual effects
• Common risk factors in the returns on stocks and bonds
• Consistency of sparse PCA in high dimension, low sample size contexts
• Determining the Number of Factors in Approximate Factor Models
• Efficient semiparametric estimation of the Fama-French model and extensions
• Eigenvalue ratio test for the number of factors
• Errors in the Dependent Variable of Quantile Regression Models
• Estimation and inference in semiparametric quantile factor models
• Forecasting Using Principal Components From a Large Number of Predictors
• Inferential Theory for Factor Models of Large Dimensions
• Nonparametric Estimation of an Additive Quantile Regression Model
• Nuclear norm regularized quantile regression with interactive fixed effects
• PCA consistency in high dimension, low sample size context
• Projected principal component analysis in factor models
• Quantile factor models
• Series estimation under cross-sectional dependence

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