Nearest comoment estimation with unobserved factors
DOI10.1016/J.JECONOM.2019.12.009zbMATH Open1456.62112OpenAlexW2778207936WikidataQ126402659 ScholiaQ126402659MaRDI QIDQ2190230FDOQ2190230
Authors: 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
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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)
Cites Work
- Inferential Theory for Factor Models of Large Dimensions
- Principal components estimation and identification of static factors
- Sufficient forecasting using factor models
- Title not available (Why is that?)
- Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
- Consistent noisy independent component analysis
- Mean-variance-skewness portfolio performance gauging: a general shortage function and dual approach
- Portfolio selection with higher moments
- An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution
- Factor analysis for non-normal variables
- Generalized dynamic factor models and volatilities: estimation and forecasting
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- Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models
- Independent Factor Autoregressive Conditional Density Model
- Generalized dynamic factor models and volatilities: recovering the market volatility shocks
- More efficient parameter estimates for factor analysis of ordinal variables by ridge generalized least squares
Cited In (5)
- Estimating the higher-order co-moment with non-Gaussian components and its application in portfolio selection
- Optimal portfolio diversification via independent component analysis
- Scalable symmetric Tucker tensor decomposition
- A misspecification test for the higher order co-moments of the factor model
- Editorial: Nonlinear financial econometrics JoE special issue introduction
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