The paper proposes a new algorithm for the high-dimensional financial data -- the Groupwise Interpretable Basis Selection (GIBS) algorithm, to estimate a new Adaptive Multi-Factor (AMF) asset pricing model, implied by the recently developed Generalized Arbitrage Pricing Theory, which relaxes the...

We introduce and estimate a model that leverages a system-wide approach to identify systemically important financial institutions. Our Debiased Lasso penalized Vector Auto-regressive (DLVAR) framework, based on formal Granger Causality tests for large multivariate time series, explicitly allows...