A flexible predictive density combination is introduced for large financial data sets which allows for model set incompleteness. Dimension reduction procedures that include learning allocate the large sets of predictive densities and combination weights to relatively small subsets. Given the...

The approach by Engelberg, Manski, and Williams (2009) to convert probabilistic survey responses into continuous probability distributions implicitly assumes that the question intervals are equally wide. Almost all recently established household surveys have intervals of varying widths. Applying...

We introduce a software generator for a class of colored (self-correlated) and non-Gaussian noise, whose statistics and spectrum depend on two param- eters, q and τ. Inspired by Tsallis’ nonextensive formulation of statistical physics, the so-called q-distribution is a handy source of...

We develop a new asset pricing theory that bridges two seemingly unrelated anomalies: (1) the negative relationship between dispersion in financial analysts’ earnings forecasts and expected returns and (2) the negative relationship between ex-ante skewness and expected returns. The results...