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Factors, Stochastic Discount Factor, Post-Selection Inference, Regularized Two-Pass Estimation, Variable Selection, Machine Learning, LASSO, Elastic Net, PCA
Cross-sectional Returns, Deep Learning, Latent Factors, Nonlinearity, Security Sorting.
Characteristics, Decision Tree, Factors, Interpretable AI, Test Assets.
This is a National Bureau of Economic Research Paper. NBER charges a fee of $5.00 for this paper.
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Asset Allocation, Bayes, Hierarchical Prior, Estimation Risk, Characteristics, Macro Predictors, Risk Factor
Deep Learning, Bond Return Predictability, Real-Time Macro Data, News Topic Attentions.
Bond Characteristics; Machine Learning; Aggregate Predictors; Return Predictability; Private Bonds.
Bond Characteristics, machine learning, Aggregate Predictors, Return predictability, Private Bonds.
Tangency Portfolios, Deep Learning, Factor Models, Portfolio Optimization, Corporate Bonds.
GMM, ridge fusion penalty, stochastic discount factor, time-varying coefficient model.
Decision Tree, Bayesian Spike-and-Slab, Factor Selection, Heterogeneity, Structural Breaks.
Long-Horizon Volatility Forecast, Temporal Aggregation, Model Selection, Risk Management
Asymmetric price impact, ETFs, Firm characteristics, Inflow and outflow, Institutional investors, Mutual funds.
conditional asset pricing, heterogeneous structural breaks, macroeconomic regimes, sparsity, time-varying model specifications
Characteristic-based benchmark; corporate bond pricing; forecast combination; machine learning; risk premia.
Asset Pricing, Bayesian Estimation, Clustering Tree, Factors, Heterogeneity, Panel Data, Sparsity, Spike-and-Slab, Structural Breaks
anomalies, factor efficiency, stepwise selection, GRS test, model comparison, Sharpe ratio
Machine learning, Regularization, Proximal Algorithm, Nonconvex Optimization, Marketing Demand Forecasting
Bayesian predictive regression; prior sensitivity analysis; maximum-a-posteriori; equity-premium predictability; bond risk premia; predictor selection.
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
Elastic Net, Factors, Lasso, Machine Learning, PCA, Post-Selection Inference, Regularized Two-Pass Estimation, Stochastic discount factor, variable selection
long-horizon volatility, iterated forecasts, temporal aggregation, model selection, risk management, mixed data frequency
