Finance & Financial Econometrics : 
Time: 11.30 am
Date: 24th of October 2024
Room 3001

Léonard THELOT (CREST) “Latent Factor Models with Functional Single-Index Loadings”

Abstract : We extend static linear factor models in a semiparametric framework, by assuming the loadings are unknown functions that depend on some exogeneous covariates. Since the latter covariates may be possibly numerous, their effect is summarized through individual univariate indices.
We state the consistency and the asymptotic normality of our estimated factors and loading functions, when the number of individuals and their history length go to the infinity (large N, large T asymptotics). By simulation and a real data experiment, the relevance of this approach is empirically shown.

Organizers: 

Jean-Michel ZAKOIAN (CREST)

Sponsors:
CREST