3 papers
econ.EM2022
A Unified Framework for Estimation of High-dimensional Conditional Factor Models
Qihui Chen
This paper presents a general framework for estimating high-dimensional conditional latent factor models via constrained nuclear norm regularization. We establish large sample prop…
econ.EM2022
Robust Estimation of Conditional Factor Models
Qihui Chen
This paper develops estimation and inference methods for conditional quantile factor models. We first introduce a simple sieve estimation, and establish asymptotic properties of th…
econ.EM2021
Semiparametric Conditional Factor Models in Asset Pricing
Qihui Chen, Nikolai Roussanov, Xiaoliang Wang
We introduce a simple and tractable methodology for estimating semiparametric conditional latent factor models. Our approach disentangles the roles of characteristics in capturing…