We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the information contained in a large panel of yields. In particular, we use a large Bayesian Vector Autoregression (BVAR) with an optimal amount of shrinkage towards univariate AR...

This paper presents a new hierarchical methodology for estimating multi factor dynamic asset pricing models. The approach is loosely based on the sequential approach of Fama and MacBeth (1973). However, the hierarchical method uses very flexible bandwidth selection methods in kernel weighted...

This paper presents a new hierarchical methodology for estimating multi factor dynamic asset pricing models. The approach is loosely based on the sequential Fama–MacBeth approach and developed in a kernel regression framework. However, the methodology uses a very flexible bandwidth selection...