School of Management and Economics
China
The Chinese University of Hong Kong, Shenzhen
Characteristics, Managed portfolios, Factor models, PCA, Sieve estimation, Fama-MacBeth regression, Nonlinearity
Instrumental variables, Partial identification, Optimal penalty, Minimum variance
First order degeneracy, Second order Delta method, Bootstrap consistency, Babu correction, Common CH features, J-test
Matrix rank, Bootstrap, Two-step test, Rank estimation, Identification, Matching dimension
Nuclear norm regularization, Factor models, Characteristics, Macro state variables, Factor zoo, Missing values
Asset Pricing, Characteristics, Economic Interpretability, Goal-Oriented Algorithms, Latent Factors, Machine Learning, Risk Premia, Sparsity
Conditional quantiles, Factor models, Heavy tails, Volatility factors, Sieve estimation, Robust inference
Debiased Bayesian inference, high-dimensional regression, sparsity-inducing priors, Bernstein-von Mises theorem, variational Bayes
