Efficient Semiparametric Estimation of the Fama-French Model and Extensions
From MaRDI portal
Publication:2859070
DOI10.3982/ECTA7432zbMath1274.91485OpenAlexW1839044816MaRDI QIDQ2859070
Matthias Hagmann, Oliver B. Linton, Gregory Connor
Publication date: 6 November 2013
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3982/ecta7432
additive modelskernel estimationnonparametric regressionarbitrage pricing theorycharacteristic-based factor model
Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Statistical methods; risk measures (91G70)
Related Items
Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors, Optimal characteristic portfolios, EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS, Continuum directions for supervised dimension reduction, Estimation and inference in semiparametric quantile factor models, Autoencoder asset pricing models, An integrated panel data approach to modelling economic growth, Uniform predictive inference for factor models with instrumental and idiosyncratic betas, Intraday cross-sectional distributions of systematic risk, Binary response models for heterogeneous panel data with interactive fixed effects, High dimensional semiparametric moment restriction models, Unnamed Item, Robust projected principal component analysis for large-dimensional semiparametric factor modeling, Factor Models for High-Dimensional Tensor Time Series, Rejoinder, Heterogeneity adjustment with applications to graphical model inference, Non-parametric estimation of data dimensionality prior to data compression: the case of the human development index, A semiparametric single index model with heterogeneous impacts on an unobserved variable, Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data, A semiparametric latent factor model for large scale temporal data with heteroscedasticity, Sufficient forecasting using factor models, A note on the asymptotic properties of least squares estimation in high dimensional constrained factor models, Nonparametric estimation of noisy integral equations of the second kind, Quasi maximum likelihood analysis of high dimensional constrained factor models, Projected principal component analysis in factor models, A semiparametric model for heterogeneous panel data with fixed effects, A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering, Testing subspace restrictions in the presence of high dimensional nuisance parameters, Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components, Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence
