In this paper we propose an efficient and easy to implement model to project each of the Principal Components (PCs) -driving a given portfolio or derivative product, or trading strategy's risk factors- on a number of inputted variables (risk factors) equal to the PC's rank, ranking in terms of...

When designing a statistical model, applied researchers strive to make the model consistent, unbiased, and efficient. Labor productivity is an important economic indicator that is closely linked to economic growth, competitiveness, and living standards within an economy. This paper proposes the...

According to portfolio theory, diversifying investment to several stocks with negative correlations may reduce portfolio risk. In contrast, combining stocks with similar movement (co-movement) has no impact on portfolio risk reduction. This study aims to examine state-owned enterprise stock...

We have constructed a financial conditions index for Norway (FCIN). The FCIN offers a daily update on Norwegian financial conditions based on data from January 2003 on bank lending rates, bond spreads, the foreign exchange market, the stock market and the housing market. The index is constructed...

The concept of centrality is widely used to monitor systems with a network structure because it allows identifying their most influential participants. This monitoring task can be difficult if the number of system participants is considerably large or if the wide variety of centrality measures...

This research paper introduces a methodology to assess the robustness of the Global Innovation Index (GII), by comparing the rankings provided in it with those achieved using alternative data-driven methodologies such as data envelopment analysis (DEA) and principal component analysis (PCA)....