We forecast realized volatilities by developing a time-varying heterogeneous autoregressive (HAR) latent factor model with dynamic model average (DMA) and dynamic model selection (DMS) approaches. The number of latent factors is determined using Chan and Grant's (2016) deviation information...

Models for assessing the probability of default play an important role in the risk management systems of commercial banks, as they allow assessing the creditworthiness of various counterparties and transactions. Many Russian banks are trying to switch to an advanced approach based on internal...

A combination of technological change, methodological drift and a certain degree of intellectual sloth, particularly with respect to philosophy of science, has allowed contemporary quantitative political analysis to accumulate a series of dysfunctional habits that have rendered much of...