international indicators. Two methods are employed, factor models and forecast combination, to deal with the curse of dimensionality … sensitivity of the forecast performance of factor models to various modelling choices. In this respect, effects of factor … forecasting performance. Factor models perform better than the combination of bi-variate forecasts which indicates that pooling …

Spanish economy’s GDP and its demand components. Drawing on a broad set of indicators, several dynamic factor models are …

Statistical modeling techniques-and factor models in particular-are extensively used in practice, especially in the …

returns. Existing factor models struggle to model the covariance matrix of residuals in the presence of time …-of-the-art competitors, including static factor models, exogenous factor models, sparsity-based models, and structure-free dynamic models …

factor models (FFMs). FFMs are the typical benchmark in the asset management industry and depart from the usual statistical … factor models and the factor models with observed factors used in the statistical and finance literature. Little is known …