Nonparametric conditional factors for unbalanced panels

Add to your list(s) Download to your calendar using vCal

• Paul Schneider (Swiss Finance Institute)
• Thursday 22 February 2024, 12:00-13:00
• W4.03.

If you have a question about this talk, please contact Cerf Admin.

We introduce a nonparametric estimator for conditional covariance matrices of unbalanced panels. Our approach naturally accommodates a low-dimensional nonlinear factor structure that ensures all structural relations between moments. In high-dimensional large-data applications, we investigate various conditional return expectation and covariance models that depend on asset characteristics. The empirically successful models imply substantial conditional Sharpe ratios, along with respectable ordinal and point predictions. Our approach can easily be extended to accommodate higher-order moments and comes with asymptotic theory that can be used with large unbalanced panels.

This talk is part of the Cambridge Finance Workshop Series series.

This talk is included in these lists:

• All Talks (aka the CURE list)
• CERF and CF Events
• Cambridge Finance Workshop Series
• Cambridge Judge Business School
• Interested Talks
• W4.03

Note that ex-directory lists are not shown.