different frequencies but also due to the preservation of high-frequency features such as time-varying volatility. Temporally …

liquidity buffer needed by the average low-income household. First, we document diminishing benefits to liquid savings in terms … roughly 1 month of income for the average low-income household – which is far less than the savings amounts implied by common …

from the Household Finance and Consumption Survey of the European Central Bank. Given that the risky share is a fractional …

(RRSUR) framework which can accommodate both cross-sectional and time series dependence.We find that the additional … for mispricing in the presence of fewer factors. The cross-sectional and time-series validation results confirm our …

dynamic econometric model that allows not only time-varying coefficients, but also allow that the entire forecasting model be … changing over time. We estimate such model by looking at the time variation in the exposures of major cryptocurrencies to stock … during our sample. On the contrary, crypto assets are characterized by a time-varying but significant exposure to a sentiment …

consideration of alternative investments has taken a relevant position to protect their wealth and obtain profits. Due to the …

an increasing number of assets as well as time observations of the portfolio. Since the nodewise regression is not … estimate the precision matrix of errors which is consistent even when number of assets, p, exceeds the time span of the …