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This unpublished appendix provides ancillary empirical results and some simple robustness checks on the probit model of Irish mortgage defaults presented in Connor and Flavin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;...

This paper examines the short-term dynamics, macroeconomic sensitivities, and longer-term trends in the variances and covariances of national equity market index daily returns for eleven countries in the Euro currency zone. We modify Colacito, Engle and Ghysel?s Mixed Data Sampling Dynamic...

The Eurozone needs a bank resolution regime that can work across seventeen independent nations of diverse sizes with varying levels of financial development, limited fiscal co-responsibility, and with systemic instability induced by quick and low-cost deposit transfers across borders. We...

The owner of a residential property subject to a nonrecourse mortgage essentially has a put option against the market value of the property. If the market price of the property falls sufficiently, the owner can surrender the property to the mortgage issuer and in exchange receive full offset of...

This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted additive nonparametric regression model, with the factor returns serving as time-varying weights, and a set of univariate non-parametric functions...

This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted additive nonparametric regression model, with the factor returns serving as time-varying weights, and a set of univariate non-parametric functions...