Distribution forecasts conditional on macro environment
The forecasts are for the entire distribution, and consequently require robust methods of estimating. Kiema employs a method that allows for cross sectional and time series dependence seen in the data.
Northfield held their annual London research conference at Vinopolis on the 7th of November.
I presented some results from my working paper on downside risk.
A link to the presentation is available from Northfield here.