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INTEREST CATEGORY: MARKETING RESEARCH
POSTING TYPE: TOCs

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High dimensional factor analysis with weak factors
—Jungjun Choi, Ming Yuan []

On-line detection of changes in the shape of intraday volatility curves
—Torben G. Andersen, Yingwen Tan, Viktor Todorov, Zhiyuan Zhang []

Misspecification-robust bootstrap -test for irrelevant factor in linear stochastic discount factor models
—Antoine A. Djogbenou, Ulrich Hounyo []

Structural periodic vector autoregressions
—Daniel Dzikowski, Carsten Jentsch []

Nonparametric regression under cluster sampling
—Yuya Shimizu []

Matrix-valued factor model with time-varying main effects
—Clifford Lam, Zetai Cen []

Inference on model parameters with many L-moments
—Luis A.F. Alvarez, Chang Chiann, Pedro A. Morettin []

Cointegration with occasionally binding constraints
—James A. Duffy, Sophocles Mavroeidis, Sam Wycherley []

Quantile graphical models: Prediction and conditional independence with applications to systemic risk
—Alexandre Belloni, Mingli Chen, Victor Chernozhukov []

Weak identification with bounds in a class of minimum distance models
—Gregory Fletcher Cox []

Identification- and many moment-robust inference via invariant moment conditions
—Tom Boot, Johannes W. Ligtenberg []

GMM estimation with Brownian kernels applied to income inequality measurement
—Jin Seo Cho, Peter C.B. Phillips []

Estimation of spatial autoregressive panel data models with nonparametric endogenous effect
—Zixin Yang, Xiaojun Song, Jihai Yu []

Risk premia from the cross-section of individual assets
—Frank Kleibergen, Zhaoguo Zhan []

Weighted residual empirical processes, martingale transformations, and model specification tests for regressions with diverging number of parameters
—Falong Tan, Xu Guo, Lixing Zhu []

Shrinkage methods for treatment choice
—Takuya Ishihara, Daisuke Kurisu []

Making distributionally robust portfolios feasible in high dimension
—Ruike Wu, Yanrong Yang, Han Lin Shang, Huanjun Zhu []

Addressing endogeneity issues in a spatial autoregressive model using copulas
—Yanli Lin, Yichun Song []

Robust mutual fund selection with false discovery rate control
—Hongfei Wang, Ping Zhao, Long Feng, Zhaojun Wang []

Causal inference in network experiments: Regression-based analysis and design-based properties
—Mengsi Gao, Peng Ding []

Factor and idiosyncratic VAR volatility matrix models for heavy-tailed high-frequency financial observations
—Minseok Shin, Donggyu Kim, Yazhen Wang, Jianqing Fan []

Weighted-average quantile regression
—Denis Chetverikov, Yukun Liu, Aleh Tsyvinski []