We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions...

We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...

Information and technology revolution has brought a radical change in the way data are collected. The data collected is of no use unless some useful information is derived from it. Therefore, it is essential to think of some predictive analysis for analyzing data and to get meaningful...

Missing value arises in almost all serious statistical analyses and creates numerous problems in processing data in databases. In real world applications, information may be missing due to instrumental errors, optional fields and non-response to some questions in surveys, data entry errors, etc....