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stat.ME2016
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…
stat.ME2008★ 3 cited
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…