In this paper a projection pursuit method is developed which determines optimal multivariate latent factor models based on a flexible loss function. This way, the unknown model coefficients are estimated with respect to optimal predictive power. The specification of the loss function in...

This paper proposes a new method of forecasting realized volatilities by exploiting their common dynamics within a latent factor model. The main idea is to use an additive component structure to describe the long-persistence in their autocorrelation function, where the components, extracted from...

Financial returns exhibit common behavior described at best by factor models, but also fat tails, which may be captured by stable distributions. This paper concentrates on estimating factor models with multivariate stable distributed and independent latent factors and idiosyncratic noises under...