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Estimation of characteristics-based quantile factor models

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorChen, Liang
dc.contributor.authorDolado, Juan José
dc.contributor.authorGonzalo, Jesús
dc.contributor.authorPan, Haozi
dc.contributor.editorUniversidad Carlos III. Departamento de Economíaes
dc.date.accessioned2023-04-14T16:53:08Z
dc.date.available2023-04-14T16:53:08Z
dc.date.issued2023-04-14
dc.description.abstractThis paper studies the estimation of characteristic-based quantile factor models where the factor loadings are unknown functions of observed individual characteristics while the idiosyncratic error terms are subject to conditional quantile restrictions. We propose a three-stage estimation procedure that is easily implementable in practice and has nice properties. The convergence rates, the limiting distributions of the estimated factors and loading functions, and a consistent selection criterion for the number of factors at each quantile are derived under general conditions. The proposedestimation methodology is shown to work satisfactorily when: (i) the idiosyncratic errors have heavy tails, (ii) the time dimension of the panel dataset is not large, and (iii) the number of factors exceeds the number of characteristics. Finite sample simulations and an empirical application aimed at estimating the loading functions of the daily returns of a large panel of S&P500 index securities help illustrate these properties.en
dc.identifier.issn2340-5031
dc.identifier.urihttps://hdl.handle.net/10016/37095
dc.identifier.uxxiDT/0000002069es
dc.language.isoenges
dc.relation.ispartofseriesWorking paper. Economicsen
dc.relation.ispartofseries23-03
dc.relation.projectIDComunidad de Madrid. H2019/HUM-5891es
dc.relation.projectIDGobierno de España. PID2019-104960GB-I00es
dc.relation.projectIDComunidad de Madrid. EPUC3M11es
dc.relation.projectIDGobierno de España. PID2020-118659RB-I00es
dc.relation.projectIDGobierno de España. TED2021-129784B-I00es
dc.relation.projectIDGobierno de España. CEX2021-001181-Mes
dc.relation.projectIDGobierno de España. MICIN/AEI/10.13039/501100011033es
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.ecienciaEconomíaes
dc.subject.otherQuantile Factor Modelsen
dc.subject.otherNonparametric Quantile Regressionen
dc.subject.otherPrincipal Component Analysisen
dc.titleEstimation of characteristics-based quantile factor modelsen
dc.typeworking paper*
dspace.entity.typePublication
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