Multifactor models are often used as a tool to describe equity portfolio risk. Naturally, risk is dependent on the market environment and investor sentiment. Traditional factor models fail to update quickly as market conditions change. It is desirable that the risk model updates to incorporate...

Volatility prediction plays an important role in the financial domain. The GARCH family of prediction models is very popular and efficient in using past returns to forecast volatility. It has also been observed that news, scheduled and unscheduled, have an impact on return volatility of assets....

In nonparametric multivariate regression analysis, one usually seeks methods to reduce the dimensionality of the regression function to bypass the difficulty caused by the curse of dimensionality. We study nonparametric estimation of multivariate conditional distribution and quantile regression...