This chapter surveys recent econometric methodologies for inference in large dimensional conditional factor models in finance. Changes in the business cycle and asset characteristics induce time variation in factor loadings and risk premia to be accounted for. The growing trend in the use of...

We compare the performance of time-series (TS) and cross-sectional (CS) strategies based on past returns. While CS strategies are zero-net investment long/short strategies, TS strategies take on a time-varying net-long investment in risky assets. For individual stocks, the difference between the...

Purpose: This study utilizes the KNV measure to evaluate performance of national pension funds of Korea. Design/methodology/approach: First, this study investigates whether fund managers pick stocks in expansions and time the market in recessions. Second, we examine skilled funds that have both...

This paper examines real-time applications of quickest disorder detection techniques for timing stock markets. The focus is on the stochastic disorder model by Shiryaev, Zhitlukhin, and Ziemba (2014, 2015), Zhitlukhin and Ziemba (2016) and their optimal stopping rule. The model uses sequential...