High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing
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- Alexandre Belloni & Mingli Chen & Oscar Hernan Madrid Padilla & Zixuan & Wang, 2019. "High Dimensional Latent Panel Quantile Regression with an Application to Asset Pricing," Papers 1912.02151, arXiv.org, revised Aug 2022.
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More about this item
Keywords
High-dimensional quantile regression ; factor model ; nuclear norm regularization ; panel data ; asset pricing ; characteristic-based model;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2020-01-06 (Econometrics)
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