Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: High Dimensional Latent Panel Quantile Regression with an Application to
  Asset Pricing   We propose a generalization of the linear panel quantile regression model to
accommodate both \textit{sparse} and \textit{dense} parts: sparse means while
the number of covariates available is large, potentially only a much smaller
number of them have a nonzero impact on each conditional quantile of the
response variable; while the dense part is represent by a low-rank matrix that
can be approximated by latent factors and their loadings. Such a structure
poses problems for traditional sparse estimators, such as the
$\ell_1$-penalised Quantile Regression, and for traditional latent factor
estimator, such as PCA. We propose a new estimation procedure, based on the
ADMM algorithm, consists of combining the quantile loss function with $\ell_1$
\textit{and} nuclear norm regularization. We show, under general conditions,
that our estimator can consistently estimate both the nonzero coefficients of
the covariates and the latent low-rank matrix.
  Our proposed model has a "Characteristics + Latent Factors" Asset Pricing
Model interpretation: we apply our model and estimator with a large-dimensional
panel of financial data and find that (i) characteristics have sparser
predictive power once latent factors were controlled (ii) the factors and
coefficients at upper and lower quantiles are different from the median.

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The categories of this paper are: mtrl-th
8
The categories of this paper are: hep-ex
30
The categories of this paper are: q-alg
14
The categories of this paper are: math-ph
4
The categories of this paper are: cond-mat
33
The categories of this paper are: plasm-ph
0
The categories of this paper are: hep-ph
13
The categories of this paper are: quant-ph
19
The categories of this paper are: eess
20
The categories of this paper are: acc-phys
1
The categories of this paper are: cs
7
The categories of this paper are: hep-th
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The categories of this paper are: q-fin
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The categories of this paper are: nlin
5
The categories of this paper are: gr-qc
23
The categories of this paper are: solv-int