BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//CREST - ECPv5.1.3//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:CREST
X-ORIGINAL-URL:https://crest.science
X-WR-CALDESC:Events for CREST
BEGIN:VTIMEZONE
TZID:Europe/Helsinki
BEGIN:DAYLIGHT
TZOFFSETFROM:+0200
TZOFFSETTO:+0300
TZNAME:EEST
DTSTART:20240331T010000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:+0300
TZOFFSETTO:+0200
TZNAME:EET
DTSTART:20241027T010000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20241024T113000
DTEND;TZID=Europe/Helsinki:20241024T123000
DTSTAMP:20260710T134849
CREATED:20240930T064949Z
LAST-MODIFIED:20241002T073518Z
UID:17367-1729769400-1729773000@crest.science
SUMMARY:Léonard THELOT (HSBC-CREST) " Latent Factor Models with Functional Single-Index Loadings"
DESCRIPTION:[vc_row][vc_column][vc_column_text]Finance & Financial Econometrics : \nTime: 11.30 am\nDate: 24th of October 2024\nRoom 3001 \nLéonard THELOT (CREST) “Latent Factor Models with Functional Single-Index Loadings” \nAbstract : 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.\nWe 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.\n \nOrganizers: \n\nJean-Michel ZAKOIAN (CREST) \nSponsors:\nCREST[/vc_column_text][/vc_column][/vc_row]\n
URL:https://crest.science/event/leonard-thelot-crest-latent-factor-models-with-functional-single-index-loadings/
CATEGORIES:Finance-Insurance,Financial Econometrics,Seminars
ATTACH;FMTTYPE=:
END:VEVENT
END:VCALENDAR