Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
Xu Cheng (University of Pennsylvania, United States)
- Seminars Econometric Institute
Xu Cheng (University of Pennsylvania, United States)
Sarah Draus (Erasmus University Rotterdam)
Peter Neary (Oxford University, United Kingdom)
Victor Hoornweg (Erasmus University Rotterdam)
Dante Amengual (Universidad Internacional Menéndez Pelayo, Spain)
Ruediger Fahlenbrach (Swiss Finance Institute, Switzerland)
Elvira Sojli (Erasmus University Rotterdam)
Matthew Neidell (Columbia University NY, United States)
Aiste Ruseckaite (EUR)
Paulo Rodrigues (Bank of Portugal, Portugal)
Nicola Gennaioli (Bocconi University, Italy)
James J. Reade (University of Reading, United Kingdom)
Stefan Obernberger (Erasmus University Rotterdam)
Liyan Yang (University of Toronto, Canada)
Darren Kisgen (Boston College, United States)
Vernon Henderson (University of London, United Kingdom)
Dion Bongaerts
Govert Bijwaard (NIDI, the Netherlands)
Robert Moffitt (Johns Hopkins University, United States)
Dan Rees (University of Colorado, Denver, United States)