Estimating latent asset-pricing factors
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Publication:2190237
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Cites work
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Asymptotics of sample eigenstructure for a large dimensional spiked covariance model
- Asymptotics of the principal components estimator of large factor models with weakly influential factors
- Determining the Number of Factors in Approximate Factor Models
- Eigenvalue ratio test for the number of factors
- scientific article; zbMATH DE number 951459 (Why is no real title available?)
- Inferential Theory for Factor Models of Large Dimensions
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- Large sample covariance matrices and high-dimensional data analysis
- Large-dimensional factor modeling based on high-frequency observations
- OptShrink: An Algorithm for Improved Low-Rank Signal Matrix Denoising by Optimal, Data-Driven Singular Value Shrinkage
- Projected principal component analysis in factor models
- Regularized estimation of large covariance matrices
- Spectral analysis of large dimensional random matrices
- The eigenvalues and eigenvectors of finite, low rank perturbations of large random matrices
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Cited in
(30)- Factor models for asset returns based on transformed factors
- Edge statistics of large dimensional deformed rectangular matrices
- Nearest comoment estimation with unobserved factors
- Rank regularized estimation of approximate factor models
- Autoencoder asset pricing models
- Factor models with many assets: strong factors, weak factors, and the two-pass procedure
- Identifying latent factors based on high-frequency data
- Large dimensional latent factor modeling with missing observations and applications to causal inference
- Latent variable models for stochastic discount factors
- Evaluating latent and observed factors in macroeconomics and finance
- High-dimensional statistical arbitrage with factor models and stochastic control
- Weighing asset pricing factors: a least squares model averaging approach
- Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors
- High-dimensional latent panel quantile regression with an application to asset pricing
- Are bond returns predictable with real-time macro data?
- Approximate factor models with weaker loadings
- Mining the factor zoo: estimation of latent factor models with sufficient proxies
- Extrapolative asset pricing
- A Simple Method for Predicting Covariance Matrices of Financial Returns
- Regularized GMM for time-varying models with applications to asset pricing
- Inference in Sparsity-Induced Weak Factor Models
- Estimation of Sparsity-Induced Weak Factor Models
- State-Varying Factor Models of Large Dimensions
- Interpretable Sparse Proximate Factors for Large Dimensions
- Target PCA: transfer learning large dimensional panel data
- Distinguishing Time-Varying Factor Models
- Multiperiod Dynamic Portfolio Choice: When High Dimensionality Meets Return Predictability
- Estimation of large covariance matrices with mixed factor structures
- Spanning latent and observable factors
- Frequency-Band Estimation of the Number of Factors
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