The method of sparse principal component analysis (S-PCA) proposed by Zou et al. (2006) is an attractive approach to obtain sparse loadings in principal component analysis (PCA). SPCA was motivated by reformulating PCA as a least squares problem so that a lasso penalty on the loading...

The paper proposes a data driven adaptive model selection strategy. The selection crite- rion measures economic exante forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither exposed to selection bias nor to the risk of...

This paper presents a composite leading indicator for the Swiss business cycle corresponding to the growth rate cycle concept. It is the result of a complete overhaul of the KOF Economic Barometer that has been published by the KOF Swiss Economic Institute on a monthly basis since 1976. In line...