---
title: Heterogeneous Tail Common Factor Modeling
url: https://www.ml-quant.com/papers/repec/spr-digfin-v-5-y-2023-i-2-d-10-1007-s42521-023-00083-z/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:spr:digfin:v:5:y:2023:i:2:d:10.1007_s42521-023-00083-z
source_url: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Flink.springer.com%2F10.1007%2Fs42521-023-00083-z%3Bh%3Drepec%3Aspr%3Adigfin%3Av%3A5%3Ay%3A2023%3Ai%3A2%3Ad%3A10.1007_s42521-023-00083-z
featured: 2023-08-02
citations: unknown
topic: Asset Pricing & Factors
---


# Heterogeneous Tail Common Factor Modeling

The proposed Factor-HGH model, which handles non-Gaussian errors, shows promise in modeling financial factors and asset returns, especially for cryptocurrencies with highly heterogeneous tails.

- Source: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Flink.springer.com%2F10.1007%2Fs42521-023-00083-z%3Bh%3Drepec%3Aspr%3Adigfin%3Av%3A5%3Ay%3A2023%3Ai%3A2%3Ad%3A10.1007_s42521-023-00083-z
- Identifier: RePEc:spr:digfin:v:5:y:2023:i:2:d:10.1007_s42521-023-00083-z
- Released: 2023-08-02
- First featured: Quant Letter No. 10 (2023-08-02): https://www.ml-quant.com/issues/2023-08-02/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Asset Pricing & Factors

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