Dynamic factors summarize the information in a large number of variables and are therefore intuitively appealing proxies for the information set available to in

1. Main Goals The theory of asset pricing has grown markedly more sophisticated in the last two decades, with the application of powerful mathematical tools suc

I use Bayesian tools to develop a dynamic testing methodology for conditional factor pricing models, in which time-varying betas, idiosyncratic risks, and facto

An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensi

Written by one of the leading experts in the field, this book focuses on the interplay between model specification, data collection, and econometric testing of