EconPapers    
Economics at your fingertips  
 

A Unified Framework for Estimation of High-dimensional Conditional Factor Models

Qihui Chen

Papers from arXiv.org

Abstract: This paper develops a general framework for estimation of high-dimensional conditional factor models via nuclear norm regularization. We establish large sample properties of the estimators, and provide an efficient computing algorithm for finding the estimators as well as a cross validation procedure for choosing the regularization parameter. The general framework allows us to estimate a variety of conditional factor models in a unified way and quickly deliver new asymptotic results. We apply the method to analyze the cross section of individual US stock returns, and find that imposing homogeneity may improve the model's out-of-sample predictability.

Date: 2022-09
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/2209.00391 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2209.00391

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2023-11-04
Handle: RePEc:arx:papers:2209.00391