An estimator of the ex-post covariation of log-prices under asynchronicity and microstructure noise is proposed. It uses the Cholesky factorization of the covariance matrix in order to exploit the heterogeneity in trading intensities to estimate the different parameters sequentially with as many...

In this paper, we scrutinize the cross-sectional relation between idiosyncratic volatility and stock returns. As a novelty, the idiosyncratic volatility is obtained by conditioning upon macro-finance factors as well as upon traditional asset pricing factors. The macro-finance factors are...

This paper adopts quantile regressions to scrutinize the realized stock-bond correlation based upon high frequency returns. The paper provides in-sample and out-of-sample analysis and considers a large number of macro-?nance predictors well-know from the return predictability literature. Strong...

We examine sentiment variables as new predictors for US recessions. We combine sentiment variables with either classical recession predictors or with common factors based on a large panel of macroeconomic and ?nancial variables. Sentiment variables hold vast predictive power for US recessions in...

In this supplementary appendix to the paper Lu et al.(2021) ``Estimation of factors using higher-order multi-cumulants in weak factor models", we first present an overview of several alternative factor estimation and selection approaches. Second, we interpret the alternating least squares...

We estimate the latent factors in high-dimensional panel non-Gaussian data using Higher-order multi-cumulant Factor Analysis (HFA). HFA consists of an eigenvalue ratio test to select the number of non-Gaussian factors and uses alternating regressions to estimate both Gaussian and non-Gaussian...

Policymakers, firms, and investors closely monitor traditional survey-based consumer confidence indicators and treat it as an important piece of economic information. We propose a latent factor model for the vector of monthly survey-based consumer confidence and daily sentiment embedded in...

Accurate estimates of the higher order comoments are needed in asset allocation. We derive explicit formulas for the higher order comoments under the assumption that stock returns are generated by a multifactor model and show that this assumption leads to a substantial reduction in the number of...