SMU SOE Seminar Series (November 23, 2023): 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. Click here to view the CV.
		PRESENTER Songnian Chen Zhejiang University
		RESEARCH FIELDS Theoretical Applied Microeconometrics
		DATE: 23 November 2023 (Thursday)
		TIME: 4pm - 5.30pm
		VENUE: Meeting Room 5.1, Level 5 School of Economics Singapore Management University 90 Stamford Road Singapore 178903