We propose a portfolio construction method that accounts for the regime-dependent behavior of stocks, thereby impacting their expected returns. Using a hidden Markov model (HMM) and a regime-weighted least-squares approach, we estimate forward-looking regime-conditional factors. These factors...

We propose an asymptotic N(0, 1) inferential strategy to test for volatility spillover between markets consisting of multiple sectors. First, we use nonparametric kernel method to derive test statistics that assign flexible weight to each lag order and are able to check a growing number of lags...

We examine the relationship between exchange rates and macroeconomic fundamentals using a two-step maximum likelihood estimator through which we compute time-varying factor loadings. Factors are obtained as principal components, extracted from vintage macro-datasets that combine FRED-MD and OECD...