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Mining big data using parsimonious factor and shrinkage methods
Kim, Hyun Hak; Swanson, Norman R. - 2013
A number of recent studies in the economics literature have focused on the usefulness of factor models in the context of prediction using "big data". In this paper, our over-arching question is whether such "big data" are useful for modelling low frequency macroeconomic variables such as...
Persistent link: https://www.econbiz.de/10009766687
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Forecasting US recessions with macro factors
Fossati, Sebastian - 2013
Persistent link: https://www.econbiz.de/10009731422
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The competitiveness of regions in the EU
Wokoun, René; Damborský, Milan; Kouřilová, Jana; … - 2012
theoretical background with a special emphasis on the concept definition and determination of factors of the regional … competitiveness index was compiled on the basis of available Eurostat data. Next part of the paper presents the key factors of the … regional competitiveness. Factors are classified as universal and specific. Concerning universal factors, regions with a high …
Persistent link: https://www.econbiz.de/10011508705
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FRED-MD : a monthly database for macroeconomic research
McCracken, Michael W.; Ng, Serena - 2015
Persistent link: https://www.econbiz.de/10011297664
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Community support for foreign senior care workers in rural Japan and the factors that affect perception of receiving care
Lamb, Austin R. - 2021
Persistent link: https://www.econbiz.de/10013274237
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Unit-root tests in high-dimensional panels
Wichret, Oliver - 2022
Persistent link: https://www.econbiz.de/10013191550
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Uniform theory for CCE under heterogeneous slopes and general unknown factors
Stauskas, Ovidijus - 2021
Persistent link: https://www.econbiz.de/10012698551
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Bootstrap improved inference for factor-augmented regressions with CCE
Vos, Ignace de; Stauskas, Ovidijus - 2021
Persistent link: https://www.econbiz.de/10012698559
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Do you really know your cost of capital?
Keloharju, Matti; Linnainmaa, Juhani; Nyberg, Peter - 2021
Conventional wisdom, reflected in firm, investment bank, and court practice and the way academics teach corporate finance, suggests that the equity cost of capital varies considerably across firms. This practice builds on a vast amount of evidence on expected rate of return differences between...
Persistent link: https://www.econbiz.de/10012816634
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Time-series efficient factors
Ehsani, Sina; Linnainmaa, Juhani - 2020
Factors in prominent asset pricing models are positively autocorrelated. We derive a transformation that turns an … autocorrelated factor to a ``time-series efficient'' factor. Time-series efficient factors earn significantly higher Sharpe ratios … than the original factors and contain all the information found in the original factors. Momentum strategies profit from …
Persistent link: https://www.econbiz.de/10012244867