The effects of recent subprime financial crisis on the US stock market are analyzed. To investigate this problem, a Bayesian panel data analysis to identify common factors that explain the movement of stock returns when the dimension is high is developed. For high-dimensional panel data, it is...

<b> </b> For situations with a large number of series, N, each with T observations and each containing a certain amount of information for prediction of the variable of interest, we propose a new statistical modelling methodology that first estimates the common factors from a panel of data using...