This paper reestablishes the main results in Bai (2003) and Bai and Ng (2006) for high dimensional nonlinear factor models, with slightly stronger conditions on the relative magnitude of N(number of subjects) and T(number of time periods). Factors and loadings are estimated by maximum...

Importance sampling is a popular Monte Carlo method used in a variety of areas in econometrics. When the variance of the importance sampling estimator is infinite, the central limit theorem does not apply and estimates tend to be erratic even when the simulation size is large. The authors...

This paper reestablishes the main results in Bai (2003) and Bai and Ng(2006) for generalized factor models, with slightly stronger conditions on therelative magnitude of N(number of subjects) and T(number of time periods).Convergence rates of the estimated factor space and loading space and...

Considering the inferior volatility tracking capability of the point-data-based models, we propose using the more informative price interval data and building interval regression models for volatility forecasting. To characterize the heterogeneity of the market and the nonlinearity of...