Related papers: Enhancing a Risk Model by Adding Transient Statist…

This paper proposes a Vector Autoregression augmented with nonlinear factors that are modeled nonparametrically using regression trees. There are four main advantages of our model. First, modeling potential nonlinearities nonparametrically…

Frailty models are often the model of choice for heterogeneous survival data. A frailty model contains both random effects and fixed effects, with the random effects accommodating for the correlation in the data. Different estimation…

We propose modeling raw functional data as a mixture of a smooth function and a high-dimensional factor component. The conventional approach to retrieving the smooth function from the raw data is through various smoothing techniques.…

We give complete algorithms and source code for constructing statistical risk models, including methods for fixing the number of risk factors. One such method is based on eRank (effective rank) and yields results similar to (and further…

Alpha factor mining aims to discover investment signals from the historical financial market data, which can be used to predict asset returns and gain excess profits. Powerful deep learning methods for alpha factor mining lack…

This article develops a model that takes into account skewness risk in risk parity portfolios. In this framework, asset returns are viewed as stochastic processes with jumps or random variables generated by a Gaussian mixture distribution.…

This paper addresses the challenge of model uncertainty in quantitative finance, where decisions in portfolio allocation, derivative pricing, and risk management rely on estimating stochastic models from limited data. In practice, the…

Risk management is particularly concerned with extreme events, but analysing these events is often hindered by the scarcity of data, especially in a multivariate context. This data scarcity complicates risk management efforts. Various tools…

This paper proposes maximum (quasi)likelihood estimation for high dimensional factor models with regime switching in the loadings. The model parameters are estimated jointly by the EM (expectation maximization) algorithm, which in the…

High-dimensional multivariate longitudinal data, which arise when many outcome variables are measured repeatedly over time, are becoming increasingly common in social, behavioral and health sciences. We propose a latent variable model for…

We hypothesize that portfolio sorts based on the V/P ratio generate excess returns and consist of companies that are undervalued for prolonged periods. Results, for the US market show that high V/P portfolios outperform low V/P portfolios…

We develop novel estimation procedures with supporting econometric theory for a dynamic latent-factor model with high-dimensional asset characteristics, that is, the number of characteristics is on the order of the sample size. Utilizing…

We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence of quantile…

In general, underestimation of risk is something which should be avoided as far as possible. Especially in financial asset management, equity risk is typically characterized by the measure of portfolio variance, or indirectly by quantities…

We propose generalized additive partial linear models for complex data which allow one to capture nonlinear patterns of some covariates, in the presence of linear components. The proposed method improves estimation efficiency and increases…

In finance, economics and many other fields, observations in a matrix form are often observed over time. For example, many economic indicators are obtained in different countries over time. Various financial characteristics of many…

This article proposes a new method for the estimation of the parameters of a simple linear regression model which accounts for the role of co-moments in non-Gaussian distributions being based on the minimization of a quartic loss function.…

In this paper, we propose a price staleness factor model that accounts for pervasive market friction across assets and incorporates relevant covariates. Using large-panel high-frequency data, we derive the maximum likelihood estimators of…

The number of pension funds has multiplied exponentially over the last decade. Active portfolio management requires a precise analysis of the performance drivers. Several risk and performance attribution metrics have been developed since…

Modeling and forecasting covariance matrices of asset returns play a crucial role in finance. The availability of high frequency intraday data enables the modeling of the realized covariance matrix directly. However, most models in the…