33 citations · 36 across the 4 of their papers we have counts for
4 papers
Factor Models for Asset Returns Based on Transformed Factors
Efang Kong, Jialiang Li, Wenyang Zhang
The Fama-French three factor models are commonly used in the description of asset returns in finance. Statistically speaking, the Fama-French three factor models imply that the ret…
An adaptive composite quantile approach to dimension reduction
Efang Kong, Yingcun Xia
Sufficient dimension reduction [J. Amer. Statist. Assoc. 86 (1991) 316-342] has long been a prominent issue in multivariate nonparametric regression analysis. To uncover the centra…
Quantile Estimation of A general Single-Index Model
Efang Kong, Yingcun Xia
The single-index model is one of the most popular semiparametric models in Econometrics. In this paper, we define a quantile regression single-index model, which includes the singl…
Uniform Bahadur Representation for Local Polynomial Estimates of M-Regression and Its Application to The Additive Model
Efang Kong, Oliver Linton, Yingcun Xia
We use local polynomial fitting to estimate the nonparametric M-regression function for strongly mixing stationary processes . We establish a strong…