We introduce an alternative version of the Fama-French three-factor model of stockreturns together with a new estimation methodology. We assume that the factorbetas in the model are smooth nonlinear functions of observed securitycharacteristics. We develop an estimation procedure that combines...

This paper uses simulations to evaluate the performance of various methods for estimating factor returns in an approximate factor model when the cross-sectional sample (n) is large relative to the time-series sample (T). We study the performance of the estimators under a variety of alternative...

This unpublished appendix provides ancillary empirical results and some simple robustness checks on the probit model of Irish mortgage defaults presented in Connor and Flavin (2014) hereafter referred to as CF. The document is organized in three sections; first we present our robustness tests;...

Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations,...

Main description: Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric...