We develop a network-based vector autoregressive approach to uncover the interactions amongfinancial assets by integrating multiple realized measures based on high-frequency data. Undera restricted parameter structure, our approach allows the capture of cross-sectional and time ependencies...

This paper extends the economic growth model tested by Levine and Zervos (1998) by including a measure for capital allocation efficiency proxied by stock price informativeness. Using a sample of 59 countries, this study finds that stock price informativeness as measured by firm-specific return...

There is a huge interest in deriving and comparing socio-economic indicators across societal groups and domains. The indicators are usually derived from population surveys like the German Socio-Economic Panel (SOEP) by direct estimation. Small sample sizes in the domains can limit the precision...

In this work, we rely on unconventional data sources to nowcast the year-on-year growth rate of Finnish indus-trial production, for different industries. As predictors, we use real-time truck traffic volumes measured automatically in different geographical locations around Finland, as well as...

We develop a new approach for evaluating performance across hedge funds. Our approach allows for performance comparisons between models that are misspecified – a common feature given the numerous factors that drive hedge fund returns. The empirical results show that the standard models used in...

We propose a new methodology to select a subset of assets for (partial) index replication, based on the latest research on factor models of large dimensions. Our method selects the set of leader stocks that can fully capture the systematic risk of the index to be replicated. Our selection...

In the context of latent factor models that are widely used in economics, a common assumption made is one of factor pervasiveness, which implies that all available predictor or informative variables in a dataset, with the possible exception of a negligible number of them, load significantly on...

A growing literature estimates the macroeconomic effect of weather using variations in annual country-level averages of temperature and precipitation. However, averages may not reveal the effects of extreme events that occur at a higher time frequency or higher spatial resolution. To address...

When specifying and estimating latent factor models, a common assumption made is one of factor pervasiveness, which requires that Γ'Γ/N converges to a positive definite matrix, as N → ∞, where Γ denotes the loading matrix of the factor model. This paper builds on the recent nascent...