Factor estimation using instrumental data to capture both cross-sectional and time-series variation in factor loadings [SSRN]
Category: econometrics
Characteristics are Covariances: A Unified Model of Risk and Return (JFE 2019) w/ Kelly and Su
Stock characteristics are connected to expected returns because they tell us about covariance with aggregate factors. [publication] [SSRN]
Systemic Risk and the Macroeconomy: An Empirical Evaluation (JFE 2016) w/ Giglio and Kelly
We evaluate a wide array of systemic risk indicators and their ability to forecast the quantiles of real activity, and propose methods for combining them that show there is a latent systemic risk factor that is robustly related to future macroeconomic downside risk. [publication] [SSRN]
The Three-Pass Regression Filter: A New Approach to Forecasting Using Many Predictors (JoE 2015) w/ Kelly
The 3PRF is a simple least squares forecaster using many predictor variables that directly estimates the relevant forecast factors and is asymptotically normal for the best possible forecast. [publication] [SSRN]
Seth Pruitt 