1 citations · 1 across the 2 of their papers we have counts for
5 papers
Estimation of Characteristics-based Quantile Factor Models
Liang Chen, Juan Jose Dolado, Jesus Gonzalo +1
This paper studies the estimation of characteristic-based quantile factor models where the factor loadings are unknown functions of observed individual characteristics while the id…
Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates
Jesus Gonzalo, Jean-Yves Pitarakis
This paper is concerned with detecting the presence of out of sample predictability in linear predictive regressions with a potentially large set of candidate predictors. We propos…
Nonparametric Estimation of Functional Dynamic Factor Model
Israel Martínez-Hernández, Jesús Gonzalo, Graciela González-Farías
Data can be assumed to be continuous functions defined on an infinite-dimensional space for many phenomena. However, the infinite-dimensional data might be driven by a small number…
Dynamic Effects of Persistent Shocks
Mario Alloza, Jesus Gonzalo, Carlos Sanz
We provide evidence that many narrative shocks used by prominent literature are persistent. We show that the two leading methods to estimate impulse responses to an independently i…
Quantile Factor Models
Liang Chen, Juan Jose Dolado, Jesus Gonzalo
Quantile Factor Models (QFM) represent a new class of factor models for high-dimensional panel data. Unlike Approximate Factor Models (AFM), where only location-shifting factors ca…