EFFICIENT SEMIPARAMETRIC ESTIMATION OF THE FAMA-FRENCH MODEL AND EXTENSIONS

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Sufficient Forecasting Using Factor Models (2015, methodology): “Often in econometrics and ﬁnancial applications, there may exist explanatory variables to model the loading matrix of factor models (Connor et al., 2012; Fan et al., 2015a).”
PROJECTED PRINCIPAL COMPONENT ANALYSIS IN FACTOR MODELS (2014, methodology): “Connor and Linton (2007), Connor et al. (2012) applied the semi-parametric factor model to analyzing ﬁnancial returns, who assumed that Γ = 0, that is, the loading matrix can be fully explained by the observed covariates.”
Taming the Factor Zoo: A Test of New Factors (2019, unknown): “Recent literature, including Bai and Zhou (2015), Gagliardini, Ossola, and Scaillet (2016), Gagliardini, Ossola, and Scaillet (2019), Connor, Hagmann, and Linton (2012), Giglio and Xiu (2016), and Raponi, Robotti, and Zaffaroni (2017), relies on alternative asymptotic designs for better…”
Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data (2019, unknown): “Connor and Linton (2007) and Connor et al. (2012) further extend this model to allow for nonlinear or nonparametric functions.”
An Overview on the Estimation of Large Covariance and Precision Matrices (2015, unknown): “To incorporate the information carried by the observed characteristics, Connor and Oliver (2007) and Connor et al. (2012) model explicitly the loading matrix as a function of covariates X.”