Building models for high dimensional portfolios is important in risk management and asset allocation. Here we propose a novel and fast way of estimating models of time-varying covariances that overcome an undiagnosed incidental parameter problem which has troubled existing methods when applied...

This paper describes the structured interview process developed and used by a large international pharmaceutical company in Russia and Eastern Europe. This process, for the selection of sales representatives typically begins with a review of the resumes and is followed by a series of three...

A new covariance matrix estimator is proposed under the assumption that at every time period all pairwise correlations are equal. This assumption, which is pragmatically applied in various areas of finance, makes it possible to estimate arbitrarily large covariance matrices with ease. The model,...

Because utilities bill their residential and commercial customers by cycle on each working day of the month, the calculation of weather variables to associate with monthly sales data is complicated. We examined three different methods of calculating weather variables. 1.(1) For a utility that...

The financial crisis of 2007-2009 has given way to the sovereign debt crisis of 2010-2012, yet many of the banking issues remain the same. We discuss a method to estimate the capital that a financial firm would need to raise if we have another financial crisis. This measure of capital shortfall...