Nearest comoment estimation with unobserved factors

DOI10.1016/j.jeconom.2019.12.009zbMath1456.62112OpenAlexW2778207936WikidataQ126402659 ScholiaQ126402659MaRDI QIDQ2190230

Tim Verdonck, Dries Cornilly, Leopoldo Catania

Publication date: 18 June 2020

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

Full work available at URL: https://research.vu.nl/ws/files/121838112/Nearest_comoment_estimation_with_unobserved_factors.pdf

zbMATH Keywords

minimum distance estimationrisk assessmentlatent factor modelstructural equation modellinghigher-order multivariate moments

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Uses Software

• lavaan
• PerformanceAnalytics
• GitHub
• mvskPortfolios

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