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06/24/2023
Latent Factor Analysis in Short Panels
We develop inferential tools for latent factor analysis in short panels....
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10/28/2022
Eigenvalue tests for the number of latent factors in short panels
This paper studies new tests for the number of latent factors in a large...
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08/01/2022
A penalized two-pass regression to predict stock returns with time-varying risk premia
We develop a penalized two-pass regression with time-varying factor load...
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06/23/2020
SWAG: A Wrapper Method for Sparse Learning
Predictive power has always been the main research focus of learning alg...
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04/06/2020
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance
We develop and implement methods for determining whether introducing new...
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01/22/2020
Saddlepoint approximations for spatial panel data models
We develop new higher-order asymptotic techniques for the Gaussian maxim...
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01/14/2020