A novel dynamic asset-allocation approach is proposed where portfolios as well as portfolio strategies are updated at every decision period based on their past performance. For modeling, a general class of models is specified that combines a dynamic factor and a vector autoregressive model and...

This paper presents the R-package MitISEM (mixture of t by importance sampling weighted expectation maximization) which provides an automatic and flexible two-stage method to approximate a non-elliptical target density kernel -- typically a posterior density kernel -- using an adaptive mixture...

In this paper we derive a structural measure for labor market density based on the Ellison and Glasear (1997) "Index for industry concentration". This labor market density measure serves as a proxy for the number of workers that can reach a certain work area within a reasonal amount of traveling...