This paper uses multi-level factor models to characterize within- and between-block variations as well as idiosyncratic noise in large dynamic panels. Block-level shocks are distinguished from genuinely common shocks, and the estimated block-level factors are easy to interpret. The framework...

We provide asymptotic standard errors for tests of asset pricing models and factor model comparisons with dynamic trading using conditioning information in the form of lagged instruments. The tests are based on comparing squared Sharpe ratios or their normalized differences. We provide results...

We use a hierarchical factor model to study the behavior of yield curves derived from the market prices of corporate bonds issued by industrial companies and traded in the U.S. market. The sample is comprised by curves of different risk levels, which allows identifying four global forces and...

This paper investigates the limit properties of mean-variance (mv) and arbitrage pricing (ap) trading strategies using a general dynamic factor model, as the number of assets diverge to infinity. It extends the results obtained in the literature for the exact pricing case to two other cases of...

This paper investigates the limit properties of mean-variance (mv) and arbitrage pricing (ap) trading strategies using a general dynamic factor model, as the number of assets diverge to infinity. It extends the results obtained in the literature for the exact pricing case to two other cases of...