We disentangle structural breaks in dynamic factor models by establishing a projection based equivalent representation theorem which decomposes any break into a rotational change and orthogonal shift. Our decomposition leads to the natural interpretation of these changes as a change in the...

This paper revisits the least squares estimator of the linear regression with a structural break. We view the model as an approximation to the true data generating process whose exact nature is unknown but perhaps changing over time either continuously or with some jumps. This view is widely...

With increasing longevity and decreasing fertility rates, governments and policy makers are increasingly engaged in the question of long term retirement planning. In many cases this has included emphasising the need for individuals to take more responsibility for their own retirement planning...

While a great number of predictive variables for stock returns have been suggested, their prediction power is unstable. We propose a Least Absolute Shrinkage and Selection Operator (LASSO) estimator of a predictive regression in which stock returns are conditioned on a large set of lagged...

A substantial body of research suggests that it is difficult to account for all of the asset price volatility in terms of news. This paper attempts to explain the excess volatility puzzle as a consequence of competitive interaction between market participants. We develop a model of competitive...