47 citations · 68 across the 10 of their papers we have counts for
6 papers · 1 filter
Target PCA: Transfer Learning Large Dimensional Panel Data
Junting Duan, Markus Pelger, Ruoxuan Xiong
This paper develops a novel method to estimate a latent factor model for a large target panel with missing observations by optimally using the information from auxiliary panel data…
A Simple Method for Predicting Covariance Matrices of Financial Returns
Kasper Johansson, Mehmet Giray Ogut, Markus Pelger +2
We consider the well-studied problem of predicting the time-varying covariance matrix of a vector of financial returns. Popular methods range from simple predictors like rolling wi…
Inference for Large Panel Data with Many Covariates
Markus Pelger, Jiacheng Zou
This paper proposes a novel testing procedure for selecting a sparse set of covariates that explains a large dimensional panel. Our selection method provides correct false detectio…
Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference
Ruoxuan Xiong, Markus Pelger
This paper develops the inferential theory for latent factor models estimated from large dimensional panel data with missing observations. We propose an easy-to-use all-purpose est…
Change-Point Testing for Risk Measures in Time Series
Lin Fan, Junting Duan, Peter W. Glynn +1
We propose novel methods for change-point testing for nonparametric estimators of expected shortfall and related risk measures in weakly dependent time series. We can detect genera…
State-Varying Factor Models of Large Dimensions
Markus Pelger, Ruoxuan Xiong
This paper develops an inferential theory for state-varying factor models of large dimensions. Unlike constant factor models, loadings are general functions of some recurrent state…