We define a dynamic and self-adjusting mixture of Gaussian Graphical Models to cluster financial returns, and provide a new method for extraction of nonparametric estimates of dynamic alphas (excess return) and betas (to a choice set of explanatory factors) in a multivariate setting. This...

Hedonic pricing models are based on the premise that the prices of marketed goods are related to their attributes. The traditional OLS regression applied to hedonic pricing models assumes that, when using time series, the estimated coefficients with respect to each of the attributes remain...

Portfolio insurance strategies that control benchmark-underperformance risk require estimating the maximum multiplier of the risk budget, which determines the allocation to the performance-seeking asset (PSA) at each point in time. We explore the implications of taking into account the expected...

We take a novel approach to short-horizon exchange rate forecasting by using priced, predictable, and traded foreign exchange market factors as fundamentals. Conditional linear and Bayesian treed Gaussian process (BTGP) models with perfect foresight of these carry and dollar factors...

We extend classical ideal point estimation to allow voters to have different preferences when voting in different domains – for example when voting on agricultural policy than when voting on defense policy. Our scaling procedure results in estimated ideal points on a common scale. As a result,...