Researchers typically use rank ordered logit regression to analyze consumer preference data collected with Best-Worst Scaling (BWS) surveys. We propose a generalized rank ordered logit (GROL) model that accommodates scale and preference heterogeneity. Both the GROL and mixed rank ordered logit...

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...

We investigate the importance of aggregate and consumer-specific or idiosyncratic labour income risk for aggregate consumption changes in the US over the period 1952-2001. Theoretically, the effect of labour income risk on consumption changes is decomposed into an aggregate and into an...