Inference on partially identified models plays an important role in econometrics. This paper proposes novel Bayesian procedures for these models when the identified set is closed and convex and so is completely characterized by its support function. We shed new light on the connection between...

Bayesian partially identified models have received a growing attention in recent years in the econometric literature, due to their broad applications in empirical studies. Classical Bayesian approach in this literature has been assuming a parametric model, by specifying an ad-hoc parametric...

Estimating and assessing the risk of a large portfolio is an important topic in financial econometrics and risk management. The risk is often estimated by a substitution of a good estimator of the volatility matrix. However, the accuracy of such a risk estimator for large portfolios is largely...

This paper provides a selective overview on the recent development of factor models and their applications in econometric learning. We focus on the perspective of the low-rank structure of factor models, and particularly draws attentions to estimating the model from the low-rank recovery point...

This paper investigates the effect of characteristic-based time-varying factor beta on the diffusion-index type forecast. Specifically, the factor beta includes two distinct components: the "instrumental beta'' is a function of some observed stable variables, while the "idiosyncratic beta''...