Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation Dynamic factor models and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research in ...

This paper develops a new approach to estimating the degree of informality in an economy. It combines direct yet infrequent measures of the informal economy in micro data with an augmented factor ...

INVESTMENT research firm MSCI on Thursday (Jun 16) launched a series of equity factor models that feature new sustainability, crowding and machine-learning factors. Calling them “next-generation” ...

NEW YORK--(BUSINESS WIRE)--MSCI Inc. (NYSE: MSCI), a leading provider of critical decision support tools and services for the global investment community, today announces the launch of the next ...

The world is changing. Why should portfolio design stay the same? To navigate today’s unprecedented uncertainty and adapt to clients’ shifting needs, financial advisors must become more flexible and ...

We propose a framework for constructing factor models for alpha streams. Our motivation is threefold. Firstly, when the number of alphas is large, the sample covariance matrix is singular. Secondly, ...

Factor investing involves using factor models like CAPM and APT to predict individual security returns based on macroeconomic or other factors. Factor investing is a formulaic method for forecasting ...

Risk models at Credit Suisse had flagged the dangers before their $5.5 billion Archegos loss. Silicon Valley Bank's risk metrics showed clear warnings before their collapse. In both cases, ...