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Large-Dimensional Factor Modeling Based on High-Frequency Observations

Pelger, Markus, Large-Dimensional Factor Modeling Based on High-Frequency Observations (March 17, 2015). Available for download at SSRN: http://ssrn.com/abstract=2584172

“This paper develops an inferential theory for factor models of large dimensions based on high-frequency observations. We derive a new estimator for the number of factors and derive consistent and asymptotically normal estimators of the loadings and factors under the assumption of a large number of cross-sectional and high-frequency observations. The estimation approach can separate factors for normal “continuous” and rare “tail” risk. The estimator for the loadings and factors is based on the principal component analysis of the quadratic covariation matrix. The estimator for the number of factors uses a perturbed eigenvalue ratio statistic. The results are obtained under general conditions, that allow for a very rich class of stochastic processes and for serial and cross-sectional correlation in the idiosyncratic components. This is the first paper to combine the separate fields of high-frequency econometrics with large dimensional factor analysis.”

Reducing Poverty in the United States

Reducing Poverty in the United States: Results of a Microsimulation Analysis of the Community Advocates Public Policy Institute Policy Package, Kye Lippold, March 2015 “A package of five policies—a transitional jobs (TJ) program, a $10.10 minimum wage, expanded earned income tax credits, a tax credit for senior citizens and people with disabilities, and expanded childContinue Reading

The Importance of Addressing Cybersecurity Risks in the Financial Sector

Sarah J. Dahlgren, executive vice president and member of the Bank’s Management Committee, head of the Financial Institution Supervision Group at the Federal Reserve Bank of New York – Remarks at the OpRisk North America Annual Conference, New York City: I am often asked about my list of “things that keep me awake at night,”Continue Reading

5 ways to keep your data safe right now

Christopher Soghoian is a TED Fellow, and the principal technologist at the American Civil Liberties Union, where he monitors the intersection of federal surveillance and citizen’s rights. Before joining the ACLU, he was the first-ever technologist for the Federal Trade Commission’s Division of Privacy and Identity Protection, where he worked on investigations of Facebook, Twitter,Continue Reading

European Court of Justice Hears Case Challenging “Safe Harbor” Agreement and NSA Spying

EPIC – “The Court of Justice for the European Union heard arguments this week in Maximilian Schrems v. Data Protection Commissioner, a case filed in Ireland following the revelations of the NSA PRISM program. At issue is whether the disclosure of EU citizens’ data by Facebook and other Internet companies to the NSA violates theContinue Reading

Progress Report Panel Conducts Review of FBI Since 9/11 Commission Report

“A congressionally mandated panel charged with reviewing the FBI’s implementation of recommendations contained in the 9/11 Commission Report in 2004 today issued its findings. The release of the 9/11 Review Commission’s report, The FBI: Protecting the Homeland in the 21st Century, followed 14 months of research, interviews, briefings, and field visits by commissioners and theirContinue Reading

New GAO Reports – Aviation Security, Denali Commission, Health Care Funding

Aviation Security: TSA’s Managed Inclusion Process Expands Passenger Expedited Screening, But TSA Has Not Tested Its Security Effectiveness, GAO-15-465T: Published: Mar 25, 2015. Publicly Released: Mar 25, 2015. Denali Commission: Options Exist to Address Management Challenges, GAO-15-72: Published: Mar 25, 2015. Publicly Released: Mar 25, 2015. Health Care Funding: Federal Obligations to and Expenditures byContinue Reading

Planting your spring garden? Consider climate’s ‘new normal’

“Among the most important factors determining which plants can survive where is how cold the winter is. If you’re planting a garden this spring, this set of maps can help you see how planting zones across the country have shifted ever so subtly over the past few decades in response to warming climate. Click titlesContinue Reading

Library of Congress – Treaties, Text, and Timely Updates

Via Andrew Weber – “Treaties, Text, and Timely Updates – Congress.gov Spring Cleaning – Since introducing Congress.gov in September 2012, we have continued to add the databases from THOMAS to the new system.  We launched with legislation, followed soon thereafter by the Congressional Record, Committee Reports, and nominations.  Today, we are releasing treaty documents.  You canContinue Reading

Is the Price Right? An Empirical Study of Fee-Setting in Securities Class Actions

Baker, Lynn A. and Perino, Michael A. and Silver, Charles, Is the Price Right? An Empirical Study of Fee-Setting in Securities Class Actions (February 11, 2015). Columbia Law Review, 2015, Forthcoming; U of Texas Law, Law and Econ Research Paper; St. John’s Legal Studies Research Paper No. 15-0003. Available at SSRN: http://ssrn.com/abstract=2584649 “Every year, feeContinue Reading

New BIS Working Papers – Foreign exchange intervention, Liquidity Squeeze, Global Asset Allocations Shifts, Macroprudential Policy, EMEs

Foreign exchange intervention: strategies and effectiveness – “Foreign exchange intervention has been actively used as a policy tool in many economies in Asia and elsewhere. In this paper, we examine two intervention rules (leaning against exchange rate misalignment and leaning against the wind), utilised with varying degrees of transparency, based on a simple model withContinue Reading

Agencies Provide Feedback on Resolution Plans of Three Foreign Banking Organizations

Firms Required to Address Shortcomings in 2015 Submissions – “The Federal Reserve Board and the Federal Deposit Insurance Corporation (FDIC) on Monday announced that they had completed the reviews of resolution plans submitted in 2014 by three large, foreign banking organizations and had issued feedback letters to each institution. In their review of the resolutionContinue Reading