Nearest Comoment Estimation With Unobserved Factors

Kris Boudt, Dries Cornilly, Tim Verdonck

Onderzoeksoutput: Article

4 Citaten (Scopus)

Samenvatting

We propose a minimum distance estimator for the higher-order comoments of a multivariate distribution exhibiting a lower dimensional latent factor structure. We derive the in uence function of the proposed estimator and prove its consistency and asymptotic normality. The simulation study confirms the large gains in accuracy compared to the traditional sample comoments. The empirical usefulness of the novel framework is shown in applications to portfolio allocation under non-Gaussian objective functions and to the extraction of factor loadings in a dataset with mental ability scores.
Originele taal-2English
Pagina's (van-tot)381-397
Aantal pagina's17
TijdschriftJournal of Econometrics
Volume217
Nummer van het tijdschrift2
DOI's
StatusPublished - aug 2020

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