in factor model forecast accuracy, but does the same for the AR model forecasts. The relative performance of the factor … models compared to the AR models is largely unaffected by whether the exercise is in real time or is pseudo out-of-sample. …

This paper compares alternative estimation procedures for multi-level factor models which imply blocks of zero …

Financial returns exhibit common behavior described at best by factor models, but also fat tails, which may be captured … by α-stable distributions. This paper concentrates on estimating factor models with multivariate α-stable distributed and … independent factors and idiosyncratic noises under the assumption of time constant distribution (static factor models) or time …