arXiv 2 Apr 2022 · Econometrics
arXiv:2204.00801 · PDF · DOI · OpenAlex · Extracted main text
This paper develops estimation and inference methods for conditional quantile factor models. We first introduce a simple sieve estimation, and establish asymptotic properties of the estimators under large $N$. We then provide a bootstrap procedure for estimating the distributions of the estimators. We also provide two consistent estimators for the number of factors. The methods allow us not only to estimate conditional factor structures of distributions of asset returns utilizing characteristics, but also to conduct robust inference in conditional factor models, which enables us to analyze the cross section of asset returns with heavy tails. We apply the methods to analyze the cross section of individual US stock returns.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Chen, Q., N. Roussanov, and X. Wang (2021) b): Semiparametric Conditional Factor Models: Estimation and Inference, Tech self | 0.965 | 10 | 5 | 90% |
| 2 | Connor, G., M. Hagmann, and O. Linton (2012) Efficient semiparametric estimation of the Fama–French model and extensions | 0.811 | 4 | 2 | 100% |
| 3 | Fama, E. F. and K. R. French (1993) Common risk factors in the returns on stocks and bonds | 0.737 | 3 | 2 | 100% |
| 4 | Kelly, B. T., S. Pruitt, and Y. Su (2019) Characteristics are covariances: A unified model of risk and return | 0.737 | 3 | 2 | 100% |
| 5 | Rosenberg, B. and W. McKibben (1973) The prediction of systematic and specific risk in common stocks | 0.737 | 3 | 2 | 100% |
| 6 | Ang, A., R. J. Hodrick, Y. Xing, and X. Zhang (2006) The cross‐section of volatility and expected returns | 0.644 | 2 | 2 | 100% |
| 7 | Bai, J. and S. Ng (2002) Determining the Number of Factors in Approximate Factor Models | 0.644 | 2 | 2 | 100% |
| 8 | Chamberlain, G. and M. Rothschild (1982) Arbitrage, factor structure, and mean-variance analysis on large asset markets | 0.644 | 2 | 2 | 100% |
| 9 | Chen, L., J. Dolado, and J. Gonzalo (2021) a): Quantile factor models | 0.644 | 2 | 2 | 100% |
| 10 | Daniel, K. and S. Titman (1997) Evidence on the characteristics of cross sectional variation in stock returns | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 37 scored citations.