Risk factor extraction with quantile regression method

DOI10.1007/S10479-022-04709-0OpenAlexW4229059008MaRDI QIDQ2675739

Claire Y. T. Chen, Edward W. Sun, Wan Ni Lai

Publication date: 26 September 2022

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-022-04709-0

zbMATH Keywords

portfolioasset pricingquantile regressioninvestmentfactor modelrisk and return

Mathematics Subject Classification ID

Statistics (62-XX) Applications of statistics (62Pxx) Nonparametric inference (62Gxx)

Cites Work

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• Comonotonicity and low volatility effect
• Conditional Quantile Estimation for Generalized Autoregressive Conditional Heteroscedasticity Models
• Regression Quantiles
• Quantile Regression
• Quantitative Investing
• Common risk factors in the returns on stocks and bonds
• Inferential Theory for Factor Models of Large Dimensions
• Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure
• Quantile Autoregression

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