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Multiple regression model averaging and the focused information criterion wit...
We consider multiple regression (MR) model averaging using the Focused Informati on Criterion (FIC). Our approach is motivated by the problem of implementing a mean-variance... -
Leverage, Asymmetry, and Heavy Tails in the High-Dimensional Factor Stochasti...
We develop a flexible modeling and estimation framework for a high-dimensional factor stochastic volatility (SV) model. Our specification allows for leverage effects, asymmetry...