Nearest comoment estimation with unobserved factors

DOI10.1016/J.JECONOM.2019.12.009MaRDI QIDQ2190230zbMATH OpenOpenAlexWikidataFDO

Authors Tim Verdonck, Dries Cornilly, Kris Boudt

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

higher-order multivariate momentslatent factor modelminimum distance estimationrisk assessmentstructural equation modelling

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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Cites work

• An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution
• Consistent noisy independent component analysis
• Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models
• Factor analysis for non-normal variables
• Generalized dynamic factor models and volatilities: estimation and forecasting
• Generalized dynamic factor models and volatilities: recovering the market volatility shocks
• scientific article; zbMATH DE number 794688 (Why is no real title available?)
• scientific article; zbMATH DE number 3185328 (Why is no real title available?)
• Independent Factor Autoregressive Conditional Density Model
• Inferential Theory for Factor Models of Large Dimensions
• Mean-variance-skewness portfolio performance gauging: a general shortage function and dual approach
• More efficient parameter estimates for factor analysis of ordinal variables by ridge generalized least squares
• Portfolio selection with higher moments
• Principal components estimation and identification of static factors
• Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
• Sufficient forecasting using factor models

Cited in

(5)

• Editorial: Nonlinear financial econometrics JoE special issue introduction
• Optimal portfolio diversification via independent component analysis
• Estimating the higher-order co-moment with non-Gaussian components and its application in portfolio selection
• A misspecification test for the higher order co-moments of the factor model
• Scalable symmetric Tucker tensor decomposition

Describes a project that uses

Uses Software

• lavaan
• PerformanceAnalytics
• mvskPortfolios
• GitHub

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