Predictions of the portfolio model of the economy are tested using regional growth data from Europe. It is shown that more aggregated regions of Europe tend to be more economically diverse than more disaggregated regions. Then, using different frontier estimation methods, evidence of a convex...

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...