相关论文: Inferential Theory for Pricing Errors with Latent …

This paper presents an augmented deep factor model that generates latent factors for cross-sectional asset pricing. The conventional security sorting on firm characteristics for constructing long-short factor portfolio weights is nonlinear…

This paper develops the inferential theory for latent factor models estimated from large dimensional panel data with missing observations. We propose an easy-to-use all-purpose estimator for a latent factor model by applying principal…

We develop a new framework for constructing factors from firm characteristics that balances statistical efficiency and economic interpretability. Instead of using all characteristics equally, our method groups related characteristics and…

This paper considers the estimation and inference of the low-rank components in high-dimensional matrix-variate factor models, where each dimension of the matrix-variates ($p \times q$) is comparable to or greater than the number of…

We introduce a simple and tractable methodology for estimating semiparametric conditional latent factor models. Our approach disentangles the roles of characteristics in capturing factor betas of asset returns from ``alpha.'' We construct…

High-dimensional tensor-valued data have recently gained attention from researchers in economics and finance. We consider the estimation and inference of high-dimensional tensor factor models, where each dimension of the tensor diverges.…

Modern time series forecasting methods, such as Transformer and its variants, have shown strong ability in sequential data modeling. To achieve high performance, they usually rely on redundant or unexplainable structures to model complex…

Regression models, in which the observed features $X \in \R^p$ and the response $Y \in \R$ depend, jointly, on a lower dimensional, unobserved, latent vector $Z \in \R^K$, with $K< p$, are popular in a large array of applications, and…

Hierarchical panel data models have recently garnered significant attention. This study contributes to the relevant literature by introducing a novel three-dimensional (3D) hierarchical panel data model, which integrates panel regression…

We propose a combined model, which integrates the latent factor model and the logistic regression model, for the citation network. It is noticed that neither a latent factor model nor a logistic regression model alone is sufficient to…

This paper re-examines the problem of estimating risk premia in linear factor pricing models. Typically, the data used in the empirical literature are characterized by weakness of some pricing factors, strong cross-sectional dependence in…

We use deep partial least squares (DPLS) to estimate an asset pricing model for individual stock returns that exploits conditioning information in a flexible and dynamic way while attributing excess returns to a small set of statistical…

In many applications, particularly in the natural sciences, the available high-dimensional set of features may contain variables that are not correlated with the response under consideration. Such irrelevant features can, in certain cases,…

In the standard equilibrium and/or arbitrage pricing framework, the value of any asset is uniquely specified from the belief that only the systematic risks need to be remunerated by the market. Here, we show that, even for arbitrary large…

The risk premia of traded factors are the sum of factor means and a parameter vector we denote by {\phi} which is identified from the cross section regression of alpha of individual securities on the vector of factor loadings. If phi is…

Generalized latent factor analysis not only provides a useful latent embedding approach in statistics and machine learning, but also serves as a widely used tool across various scientific fields, such as psychometrics, econometrics, and…

This paper studies inference in linear models with a high-dimensional parameter matrix that can be well-approximated by a ``spiked low-rank matrix.'' A spiked low-rank matrix has rank that grows slowly compared to its dimensions and nonzero…

While asset-pricing models increasingly recognize that factor risk premia are subject to structural change, existing literature typically assumes that investors correctly account for such instability. This paper studies how investors…

This paper studies new tests for the number of latent factors in a large cross-sectional factor model with small time dimension. These tests are based on the eigenvalues of variance-covariance matrices of (possibly weighted) asset returns,…

Latent factor models have achieved great success in personalized recommendations, but they are also notoriously difficult to explain. In this work, we integrate regression trees to guide the learning of latent factor models for…