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Daily Archives: March 25, 2015

Large-Dimensional Factor Modeling Based on High-Frequency Observations

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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

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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 child… Continue Reading

The Importance of Addressing Cybersecurity Risks in the Financial Sector

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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

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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

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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 the… Continue Reading

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

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“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 their… Continue Reading

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

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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 by… Continue Reading

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

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“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 titles… Continue Reading

Library of Congress – Treaties, Text, and Timely Updates

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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 can… Continue Reading