The dynamic development of the digitized society generates large-scale information data flows. Therefore, data need to be compressed in a way allowing its content to remain complete and informative. In order for the above to be achieved, it is advisable to use the principal component method...

We have assessed the effect of data releases when constructing short-term point and density forecasts of the Spanish gross domestic product growth. For this purpose, we considered a real-forecasting exercise in which we defined several pseudo-data vintages that had a mixture of monthly and...

We propose a theoretically motivated and empirically robust factor model for option returns. The model consists of factors based on option illiquidity, option price, implied-minus-realized volatility, implied-minus-realized skewness, implied-minus-realized kurtosis, and the option market factor....

In this paper, we utilize ridge regression and develop a novel set of characteristics-based factors, referred to as "ridge factors". We demonstrate that use of the ridge factors enables the creation of a Bayesian average SDF, which can shrink the relative contribution of low-variance principle...