393 Promenade des Anglais
Nice, 06200
France
EDHEC Business School
cryptocurrency; risk premia; observable factors; latent factors; PCA
Positional Good, Robust Portfolio Management, Rank, Fund Tournament, Factor Model, Big Data, Equally Weighted Portfolio, Momentum, Reversal, Positional Risk Aversion.
Large Panel, Unobservable pervasive factors, Mixed frequency, Canonical correlations, Output growth
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
GDP growth, Group Factor models, MIDAS
Testing common factors, portfolio sorting, factor zoo
factor zoo, portfolio sorting, Testing common factors
Indirect inference, MIDAS regressions, State space model, Stochastic volatility, GDP forecasting.
bond return predictability, equity tail risk, bond risk premium, flight-to-safety, affine term structure model
Bond return predictability, equity tail risk, bond risk premium, flight-to-safety, affine term structure model
sustainable finance, sustainable investing, carbon footprint, GHG emissions, input-output analysis, SRI funds
Comovement, Approximate Factor Model, Groups, Threshold, Portfolio Risk.
