![[Search]](/static/images/search.gif){kind=small}
![[A-Z Index]](/static/images/az.gif){kind=small}
![[Contact]](/static/images/contact.gif){kind=small}
![[University of Cambridge]](/static/images/identifier2.gif){kind=small}
![[Talks.cam]](/static/images/talkslogosmall.gif)
Paul Schneider (Swiss Finance Institute) 
Thursday 22 February 2024, 12:00-13:00
Nonparametric conditional factors for unbalanced panels
- đ¤ Speaker: Paul Schneider (Swiss Finance Institute)
- đ Date & Time: Thursday 22 February 2024, 12:00 - 13:00
- đ Venue: W4.03
Abstract
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.
Series This talk is part of the Cambridge Finance Workshop Series series.
Included in Lists
- All Talks (aka the CURE list)
- Cambridge Finance Workshop Series
- Cambridge Judge Business School
- CERF and CF Events
- Interested Talks
- W4.03
Note: Ex-directory lists are not shown.