most citedGeneralized Principal Component Analysis for Large-dimensional Matrix Factor Model

1 citations · 1 across the 3 of their papers we have counts for

collaborators

3 papers

econ.EM2026

Expected Shortfall Factor Models: Common Tail Losses and Expected Returns

Yujie Hou, Xinbing Kong, Yalin Wang +1

We develop an expected shortfall factor model (ESFM) to estimate and price common variation in the severity of lower-tail losses in large panels of asset returns. Mean factor model…

stat.ME2026

Expected Shortfall Panel Regression

Yujie Hou, Xinbing Kong, Yalin Wang +1

Expected Shortfall (ES) is a coherent measure of tail risk that captures the average loss beyond a quantile threshold. Despite the growing literature on ES regression conditional o…

math.ST2024★ 1 cited

Generalized Principal Component Analysis for Large-dimensional Matrix Factor Model

Yong He, Yujie Hou, Haixia Liu +1

Matrix factor models have been growing popular dimension reduction tools for large-dimensional matrix time series. However, the heteroscedasticity of the idiosyncratic components h…