Relevance-based prediction is a new approach to data-driven forecasting that serves as a
favorable alternative to both linear regression analysis and machine learning. It follows from …

We introduce a novel method to forecast the realised covariances of multidimensional time
series. The central innovation of our method is a two-step procedure which first filters the …

I find strong evidence that the cross-sectional value factor's returns are impacted by fiscal
and monetary policy in the post-Bretton Woods era. Using a custom set of 768 value factors …

The authors describe a new mathematical system for predicting outcomes of NBA draft
prospects based on a statistical concept called relevance, which gives a mathematically …

Investors sometimes have strong convictions that a distinctive economic regime will prevail
in the period ahead and therefore would like to form a portfolio that reflects the expected …