In this paper, we construct a Bayesian vector autoregressive model to forecast the industrial employment figures of the Southern California economy. The model includes both national and state variables. The root mean squared error (RMSE) and the Theil's U statistics are used in selecting the...

Option pricing and allocation tools in portfolio construction should be prospective - based on assumptions about how prices will change in the future. Most capital market assumptions used in portfolio construction are based on retrospective analysis, boiling down to simple calculations of...