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SUMMARY:Nonparametric conditional factors for unbalanced panels - Paul Sch
 neider (Swiss Finance Institute) 
DTSTART:20240222T120000Z
DTEND:20240222T130000Z
UID:TALK205756@talks.cam.ac.uk
CONTACT:Cerf Admin
DESCRIPTION:We introduce a nonparametric estimator for conditional covaria
 nce matrices of unbalanced panels. Our approach naturally accommodates a l
 ow-dimensional nonlinear factor structure that ensures all structural rela
 tions between moments. In high-dimensional large-data applications\, we in
 vestigate various conditional return expectation and covariance models tha
 t depend on asset characteristics. The empirically successful models imply
  substantial conditional Sharpe ratios\, along with respectable ordinal an
 d point predictions.\nOur approach can easily be extended to accommodate h
 igher-order moments and comes with asymptotic theory that can be used with
  large unbalanced panels.\n
LOCATION:W4.03
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