Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …

This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of …

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …