We consider the dynamic factor model where the loading matrix, the dynamic factors and the disturbances are treated as latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the loadings and the factors. We show that our estimates...

We assess the finite sample performance of simulation estimators that are used to estimate the parameters of dynamic corporate finance models. We formulate an out-of-sample specification test and propose a new set of statistical benchmarks that can be used to estimate and evaluate these models....

This paper proposes a procedure for selecting large subsamples drawn from a large simple random sample that are more representative of the population under study. By means of the so-called constant of proportionality, the procedure seeks to maximize the size of the subsample taken from a...

The optimized portfolio that is calculated by a covariance matrix has large sensitivities to small eigen values of the covariance matrix. Estimation of sampling errors for small eigen values is quite important for fund managers who construct their portfolios from estimated covariance matrixes....

Investors sometimes have strong convictions that a distinctive economic regime will prevail in the period ahead and therefore would like to form a portfolio that reflects the expected returns, standard deviations, and correlations of assets during such a regime. To do so, they typically isolate...