This paper considers factor estimation from heterogenous data, where some of the variables are noisy and only weakly informative for the factors. To identify the irrelevant variables, we search for zero rows in the loadings matrix of the factor model. To sharply separate these irrelevant...

Several large volatility matrix inference procedures have been developed, based on the latent factor model. They often assumed that there are a few of common factors, which can account for volatility dynamics. However, several studies have demonstrated the presence of local factors. In...

This paper presents a variance decomposition method - factor analysis with Procrustes rotation - that is capable of separating the global, regional and idiosyncratic components of various financial market indicators. The method is applied to indicators of five key financial markets: sovereign...

We analyze cyclical co-movement in credit, house prices, equity prices, and long-term interest rates across 17 advanced economies. Using a time-varying multi-level dynamic factor model and more than 130 years of data, we analyze the dynamics of co-movement at different levels of aggregation and...

The authors analyze cyclical co-movement in credit, house prices, equity prices, and long-term interest rates across 17 advanced economies. Using a time-varying multi-level dynamic factor model and more than 130 years of data, they analyze the dynamics of co-movement and compare recent...

This paper considers factor estimation from heterogenous data, where some of the variables are noisy and only weakly informative for the factors. To identify the irrelevant variables, we search for zero rows in the loadings matrix of the factor model. To sharply separate these irrelevant...

We develop and apply a new methodology in order to study the transmission mechanisms of international macroeconomic and financial shocks in the context of emerging markets. We propose a time-varying multi level factor augmented global VAR model which combines aspects of factor analysis and GVAR...

Corporate venture capital (CVC) investors are regularly painted with the same brush, a fact underscored by the often observed belief in the extant literature that corporate venture capitalists (CVCs) form a homogeneous group. In contrast to this simplifying perspective, this paper categorizes...

Using 10-year option and future data of global market, the risk-neutral skewness, estimated by model-free method has been found with the ability of pricing the average cross-sectional return in the global commodity future market, generating extra 8.3% return annually. The higher (lower) current...

This paper predicts the likelihood that a restaurant will close within the next one to two years using a Yelp restaurant dataset and a high dimensional gradient boosting machine called LightGBM (hereafter GBM). This model, trained on more than 20,000 individual restaurants, has an accuracy just...