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Quantile Factor Models

Citations

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Cited by:

  1. Demetrescu, Matei & Hosseinkouchack, Mehdi & Rodrigues, Paulo M. M., 2023. "Tests of no cross-sectional error dependence in panel quantile regressions," Ruhr Economic Papers 1041, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  2. Paolo Andreini & Cosimo Izzo & Giovanni Ricco, 2020. "Deep Dynamic Factor Models," Papers 2007.11887, arXiv.org, revised May 2023.
  3. Liang Chen & Juan J. Dolado & Jesús Gonzalo & Andrey Ramos, 2023. "Heterogeneous predictive association of CO2 with global warming," Economica, London School of Economics and Political Science, vol. 90(360), pages 1397-1421, October.
  4. Dimitris Korobilis & Maximilian Schroder, 2023. "Monitoring multicountry macroeconomic risk," Papers 2305.09563, arXiv.org.
  5. Shuquan Yang & Nengxiang Ling & Yulin Gong, 2022. "Robust estimation of the number of factors for the pair-elliptical factor models," Computational Statistics, Springer, vol. 37(3), pages 1495-1522, July.
  6. Xiao Huang, 2023. "Composite Quantile Factor Model," Papers 2308.02450, arXiv.org, revised Nov 2024.
  7. Xin-Bing Kong & Yong-Xin Liu & Long Yu & Peng Zhao, 2022. "Matrix Quantile Factor Model," Papers 2208.08693, arXiv.org, revised Aug 2024.
  8. Gao, Jiti & Liu, Fei & Peng, Bin & Yan, Yayi, 2023. "Binary response models for heterogeneous panel data with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 235(2), pages 1654-1679.
  9. James Mitchell & Aubrey Poon & Dan Zhu, 2024. "Constructing density forecasts from quantile regressions: Multimodality in macrofinancial dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 790-812, August.
  10. Laura Mayoral & Evi Pappa, 2022. "Introduction to the special issue in honor of Juan Jose Dolado," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(1), pages 1-9, May.
  11. Liang Chen & Juan J. Dolado & Jesús Gonzalo, 2021. "Quantile Factor Models," Econometrica, Econometric Society, vol. 89(2), pages 875-910, March.
  12. Iseringhausen, Martin & Petrella, Ivan & Theodoridis, Konstantinos, 2021. "Aggregate Skewness and the Business Cycle," Cardiff Economics Working Papers E2021/30, Cardiff University, Cardiff Business School, Economics Section.
  13. Chen, Liang & Ramos Ramirez, Andrey David, 2013. "Revisiting Granger Causality of CO2 on Global Warming: a Quantile Factor Approach," DES - Working Papers. Statistics and Econometrics. WS 35531, Universidad Carlos III de Madrid. Departamento de Estadística.
  14. Tibor Szendrei & Arnab Bhattacharjee, 2024. "Momentum Informed Inflation-at-Risk," Papers 2408.12286, arXiv.org.
  15. Velasco, Sofia, 2024. "Asymmetries in the transmission of monetary policy shocks over the business cycle: a Bayesian Quantile Factor Augmented VAR," Working Paper Series 2983, European Central Bank.
  16. Christopher F Baum & Andrés Garcia-Suaza & Miguel Henry & Jesús Otero, 2024. "Drivers of COVID-19 in U.S. counties: A wave-level analysis," Boston College Working Papers in Economics 1067, Boston College Department of Economics.
  17. Chen, Liang & Pan, Haozi, 2023. "Estimation of characteristics-based quantile factor models," UC3M Working papers. Economics 37095, Universidad Carlos III de Madrid. Departamento de Economía.
  18. 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.
  19. Ruofan Xu & Jiti Gao & Tatsushi Oka & Yoon-Jae Whang, 2022. "Quantile Random-Coefficient Regression with Interactive Fixed Effects: Heterogeneous Group-Level Policy Evaluation," Papers 2208.03632, arXiv.org, revised Nov 2024.
  20. Jia Chen Author-Name-First: Jia & Yongcheol Shin & Chaowen Zheng, 2023. "Dynamic Quantile Panel Data Models with Interactive Effects," Economics Discussion Papers em-dp2023-06, Department of Economics, University of Reading.
  21. Jozef Barunik & Matej Nevrla, 2022. "Common Idiosyncratic Quantile Risk," Papers 2208.14267, arXiv.org, revised Nov 2024.
  22. Ando, Tomohiro & Li, Kunpeng & Lu, Lina, 2023. "A spatial panel quantile model with unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 232(1), pages 191-213.
  23. Szendrei, Tibor & Varga, Katalin, 2023. "Revisiting vulnerable growth in the Euro Area: Identifying the role of financial conditions in the distribution," Economics Letters, Elsevier, vol. 223(C).
  24. Paulo M.M. Rodrigues & Matei Demetrescu, 2022. "Cross-Sectional Error Dependence in Panel Quantile Regressions," Working Papers w202213, Banco de Portugal, Economics and Research Department.
  25. Karen Miranda & Pilar Poncela & Esther Ruiz, 2022. "Dynamic factor models: Does the specification matter?," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(1), pages 397-428, May.
  26. Tomohiro Ando & Jushan Bai, 2020. "Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 115(529), pages 266-279, January.
  27. Yiren Wang & Liangjun Su & Yichong Zhang, 2022. "Low-rank Panel Quantile Regression: Estimation and Inference," Papers 2210.11062, arXiv.org.
  28. Cheng Peng & Stanislav Uryasev, 2023. "Factor Model of Mixtures," Papers 2301.13843, arXiv.org, revised Mar 2023.
  29. Ruofan Xu & Jiti Gao & Tatsushi Oka & Yoon-Jae Whang, 2022. "Estimation of Heterogeneous Treatment Effects Using Quantile Regression with Interactive Fixed Effects," Monash Econometrics and Business Statistics Working Papers 13/22, Monash University, Department of Econometrics and Business Statistics.
  30. Boudt, Kris & Cornilly, Dries & Verdonck, Tim, 2020. "Nearest comoment estimation with unobserved factors," Journal of Econometrics, Elsevier, vol. 217(2), pages 381-397.
  31. Zhe Sun & Yundong Tu, 2024. "Factors in Fashion: Factor Analysis towards the Mode," Papers 2409.19287, arXiv.org.
  32. Vegard Høghaug Larsen & Nicolò Maffei-Faccioli & Laura Pagenhardt, 2023. "Where do they care? The ECB in the media and inflation expectations," Working Papers No 04/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  33. Iania, Leonardo & Algieri, Bernardina & Leccadito, Arturo, 2022. "Forecasting total energy’s CO2 emissions," LIDAM Discussion Papers LFIN 2022003, Université catholique de Louvain, Louvain Finance (LFIN).
  34. Baruník, Jozef & Čech, František, 2021. "Measurement of common risks in tails: A panel quantile regression model for financial returns," Journal of Financial Markets, Elsevier, vol. 52(C).
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