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SMU SOE Seminar Series (November 23, 2023): Robust Quantile Factor Models
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TOPIC:
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ROBUST QUANTILE FACTOR MODELS
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ABSTRACT
In factor model analysis strong factors are commonly assumed. There has some progress made in the literature in allowing for weaker factors/loadings, in which case some specific structure is imposed on the strength of the factors/loadings. In this paper we consider quantile regression of factor models with possibly very weak factors, without imposing a similar structure. We establish large sample properties of our estimator, and our estimator performs well in finite samples.
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PRESENTER
Songnian Chen
Zhejiang University
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RESEARCH FIELDS
Theoretical
Applied Microeconometrics
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DATE:
23 November 2023 (Thursday)
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TIME:
4pm - 5.30pm
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VENUE:
Meeting Room 5.1, Level 5
School of Economics
Singapore Management University
90 Stamford Road
Singapore 178903
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