Risk factor extraction with quantile regression method
Author:
Funder
InfoTech Germany
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
https://link.springer.com/content/pdf/10.1007/s10479-022-04709-0.pdf
Reference42 articles.
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2. Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2009). High idiosyncratic volatility and low returns: International and further us evidence. Journal of Financial Economics, 91, 1–23.
3. Angrist, J., Chernozhukov, V., & Fernández-Val, I. (2006). Quantile regression under misspecification, with an application to the u.s. wage structure. Econometrica, 74(2), 539–563.
4. Asness, C. S., Frazzini, A., & Pedersen, L. H. (2019). Quality minus junk. Review of Accounting Studies, 24, 34–112.
5. Bai, J. (2003). Inferential theory for factor models of large dimensions. Econometrica, 71, 135–171.
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