The IRR (dollar-weighted return) reflects the periodic addition or withdrawal of funds by investors, and the difference between IRR and geometric mean is widely used to indicate the impact that the timing of these flows has had on investor returns. This is a biased measure, since it is also...

Factor modeling is a popular strategy to induce sparsity in multivariate models as they scale to higher dimensions. We develop Bayesian inference for a recently proposed latent factor copula model, which utilizes a pair copula construction to couple the variables with the latent factor. We use...

Discount rates affect stock prices directly via the discount-rate channel or indirectly via the cash-flow channel because expected future cash-flow growth varies with the discount rates. The traditional Macaulay duration captures the effect from the discount-rate channel. I propose a novel...