Estimating latent asset-pricing factors
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Publication:2190237
DOI10.1016/J.JECONOM.2019.08.012zbMATH Open1456.62252OpenAlexW3023737942MaRDI QIDQ2190237FDOQ2190237
Authors: Martin Lettau, Markus Pelger 
Publication date: 18 June 2020
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.08.012
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Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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- Title not available (Why is that?)
- Inferential Theory for Factor Models of Large Dimensions
- Determining the Number of Factors in Approximate Factor Models
- Eigenvalue ratio test for the number of factors
- Large Covariance Estimation by Thresholding Principal Orthogonal Complements
- Projected principal component analysis in factor models
- Spectral analysis of large dimensional random matrices
- Regularized estimation of large covariance matrices
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Asymptotics of the principal components estimator of large factor models with weakly influential factors
- Asymptotics of sample eigenstructure for a large dimensional spiked covariance model
- The eigenvalues and eigenvectors of finite, low rank perturbations of large random matrices
- Large Sample Covariance Matrices and High-Dimensional Data Analysis
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- Large-dimensional factor modeling based on high-frequency observations
Cited In (21)
- Regularized GMM for time-varying models with applications to asset pricing
- Factor models for asset returns based on transformed factors
- Mining the factor zoo: estimation of latent factor models with sufficient proxies
- Rank regularized estimation of approximate factor models
- Estimation of Sparsity-Induced Weak Factor Models
- Inference in Sparsity-Induced Weak Factor Models
- Latent variable models for stochastic discount factors
- Extrapolative asset pricing
- High-dimensional latent panel quantile regression with an application to asset pricing
- Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors
- A Simple Method for Predicting Covariance Matrices of Financial Returns
- Interpretable Sparse Proximate Factors for Large Dimensions
- State-Varying Factor Models of Large Dimensions
- Factor models with many assets: strong factors, weak factors, and the two-pass procedure
- Are bond returns predictable with real-time macro data?
- High-dimensional Statistical Arbitrage with Factor Models and Stochastic Control
- Identifying latent factors based on high-frequency data
- Large dimensional latent factor modeling with missing observations and applications to causal inference
- Target PCA: transfer learning large dimensional panel data
- Edge statistics of large dimensional deformed rectangular matrices
- Approximate factor models with weaker loadings
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