This paper describes a dynamic factor model for the Maltese economy. The model mainly serves as a tool to timely provide the Central Bank of Malta with nowcasts as well as short-term forecasts of the growth rate of the real gross domestic product, which in turn are used as an input in the...

This research aimed to test the internal and external validity of the Indonesian Entrepreneurial Competence Inventory constructed based on the situational judgment test (SJT) model. Spencer's entrepreneurial competence theory and interviews with entrepreneurs were employed to build the items....

Prior studies intensively rely on lifestyle segmentation to investigate the patterns of purchase and consumption decisions. However, the literature does not specifically relate lifestyle profiles with the types of consumer decisions (i.e., purchasing vs. consumption decisions). Therefore, this...

Independent Component Analysis (ICA) is a statistical method that linearly transforms a random vector. Under the assumption that the observed data are mixtures of non-Gaussian and independent processes, ICA is able to recover the underlying components, but at scale and order indeterminacy. Its...

Conditional heteroskedasticity of the error terms is a common occurrence in financial factor models, such as the CAPM and Fama-French factor models, This feature necessitates the use of heteroskedasticity consistent (HC) standard errors to make valid inference for regression coefficients. In...

This paper investigates forecasts of long-term volatility for the fast-growing field of long-short factor strategies in an extensive in- and out-of-sample framework. More in detail, the study follows previous authors by empirically comparing various forecast configurations to provide guidance to...

We study the tail probability of linear factor models generated from non-identically distributed components with regularly-varying tails, a large subclass of heavy-tailed distributions. An efficient sampling method for tail probability estimation for this class is introduced and theoretically...

We provide a new theory for nodewise regression when the residuals from a tted factor model areused. We apply our results to the analysis of the consistency of Sharpe Ratio estimators when there are many assets in a portfolio. We allow for an increasing number of assets as well as time...