2 papers
econ.EM2025
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.EM2025
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…