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econ.EM2024
Identifying and exploiting alpha in linear asset pricing models with strong, semi-strong, and latent factors
M. Hashem Pesaran, Ron P. Smith
The risk premia of traded factors are the sum of factor means and a parameter vector we denote by ϕ which is identified from the cross section regression of alpha of individual sec…
econ.EM2024
High-dimensional forecasting with known knowns and known unknowns
M. Hashem Pesaran, Ron P. Smith
Forecasts play a central role in decision making under uncertainty. After a brief review of the general issues, this paper considers ways of using high-dimensional data in forecast…