DataScience@BI seminar with Daniele Massacci
Estimation and Inference in Large Dimensional Threshold Factor Models with Weaker Loadings.
- Starts:12:00, 21 October 2025
- Ends:13:00, 21 October 2025
- Location:BI - campus Oslo, room: B3 inner area - next to meeting room B3i-108 or Zoom
- Enrolment deadline:20.10.2025 00:00
DataScience@BI seminar with Daniele Massacci, Reader in Data Analytics for Finance at King’s Business School, to give a talk within the field of Econometrics and Finance.
Abstract
This papers studies estimation and inference in large dimensional threshold factor models in which (some of) the eigenvalues of the covariance matrix of the data diverge at a rate that is slower than the cross-sectional dimension N. We derive the convergence rate of the concentrated least squares estimator for the threshold parameter, and we obtain the asymptotic distribution of the principal components estimator for factors and loadings within each regime. Finally, we illustrate the relevance of these theoretical findings for conditional asset pricing.
Key research areas
Econometrics and Finance, with interests in Empirical Asset Pricing, Financial Econometrics, High Dimensional Statistics and Portfolio Risk Analysis.
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