We develop a conditional factor model for the term structure of treasury bonds, which unifies non parametric curve estimation with cross-sectional asset pricing. Our factors correspond to the optimal non-parametric basis functions spanning the discount curve. They are investable portfolios...

Fund models are statistical descriptions of markets where all asset returns are spanned by the returns of a lower-dimensional collection of funds, modulo orthogonal noise. Equivalently, they may be characterised as models where the global growth-optimal portfolio only involves investment in the...

Among the many troublesome econometric relationships, the demand for money has proved especially recalcitrant, as evidenced by a long history of tinkering with basic specifications, always in response to some recent perceived forecast failure. The shortcomings of this approach and an alternative...

This study classifies jumps into idiosyncratic jumps and co-jumps to quantitatively identify systematic risk and idiosyncratic risk by utilizing high-frequency data. We found that systematic risk occurs more frequently and has larger magnitudes than the idiosyncratic risk in an individual asset,...

This paper (i) derives a number of properties of a newly specified multi-input-single-output (MISO) production function with a derived error term, and (ii) using iteratively rescaled generalized least squares, presents estimates of the cross-sectionally varying coefficients of a...

An extended dynamic Nelson-Siegel (DNS) model is developed with an additional functional demographic (FD) factor that considers the overall demographic age distribution as a persistent long-run driving force. The FD factor in the extended DNS model improves the accuracy of the yield curve...

This study used panel data in analyzing the effects of the cost of machines, tools and equiptments; labor costs; quantity of fertilizer; cost of seeds/planting materials; cost of crop protection products; and irrigation fees on the yield per hectare of rice. Panel data were utilized using...

We use deep partial least squares (DPLS) to estimate an asset pricing model for individual stock returns that exploits conditioning information in a flexible and dynamic way while attributing excess returns to a small set of statistical risk factors. The novel contribution is to resolve the...

No abstract available.This paper proposes a portfolio selection model for Fund of Funds(FoFs) with the framework of mean-variance-skewness-kurtosis. Our model considers the time-varying relationship between realized higher moments and subsequent FoFs. The cardinality constraint is also included...

Movements in expected returns (ER) can cause a bias in measured autocorrelations, and the resulting spurious component is positive for infrequent regime shifts. We demonstrate this point analytically and investigate its empirical prevalence. In a key contribution, we use shifts in ex ante ER...