Interpretable Sparse Proximate Factors for Large Dimensions

Estimating latent asset-pricing factors

(2020) Martin Lettau et al.   JOURNAL OF ECONOMETRICS

Rank regularized estimation of approximate factor models

(2019) Jushan Bai et al.   JOURNAL OF ECONOMETRICS

Large-dimensional factor modeling based on high-frequency observations

(2018) Markus Pelger   JOURNAL OF ECONOMETRICS

Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification

(2018) Sylvia Kaufmann et al.   JOURNAL OF ECONOMETRICS

Least squares estimation of large dimensional threshold factor models

(2017) Daniele Massacci   JOURNAL OF ECONOMETRICS

Principal Component Analysis of High-Frequency Data

(2017) Yacine Aït-Sahalia et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Projected principal component analysis in factor models

(2016) Jianqing Fan et al.   ANNALS OF STATISTICS

FRED-MD: A Monthly Database for Macroeconomic Research

(2016) Michael W. McCracken et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Efficient estimation of approximate factor models via penalized maximum likelihood

(2016) Jushan Bai et al.   JOURNAL OF ECONOMETRICS

Sparse principal component regression with adaptive loading

(2015) Shuichi Kawano et al.   COMPUTATIONAL STATISTICS & DATA ANALYSIS

Posterior contraction in sparse Bayesian factor models for massive covariance matrices

(2014) Debdeep Pati et al.   ANNALS OF STATISTICS

Large covariance estimation by thresholding principal orthogonal complements

(2013) Jianqing Fan et al.   JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

A penalized maximum likelihood approach to sparse factor analysis

(2013) Jang Choi et al.   Statistics and Its Interface

Efficient Semiparametric Estimation of the Fama-French Model and Extensions

(2012)   ECONOMETRICA

Sparse Bayesian infinite factor models

(2011) A. Bhattacharya et al.   BIOMETRIKA

Weak and strong cross-section dependence and estimation of large panels

(2011) Alexander Chudik et al.   Econometrics Journal

Robust principal component analysis?

(2011) Emmanuel J. Candès et al.   JOURNAL OF THE ACM

The Power of Convex Relaxation: Near-Optimal Matrix Completion

(2010) Emmanuel J. Candes et al.   IEEE TRANSACTIONS ON INFORMATION THEORY

Forecasting economic time series using targeted predictors

(2008) Jushan Bai et al.   JOURNAL OF ECONOMETRICS