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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, Pricing Errors, Security Sorting.
Asset Allocation, Bayes, Hierarchical Prior, Estimation Risk, Characteristics, Macro Predictors, Risk Factor
Asset Pricing, Basis Asset, Explainable AI, Latent Factor, Machine Learning, SDF
This is a National Bureau of Economic Research Paper. NBER charges a fee of $5.00 for this paper.
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Deep Learning, Bond Return Predictability, Real-Time Macro Data, News Topic Attentions.
Long-Horizon Volatility Forecast, Temporal Aggregation, Model Selection, Risk Management
Bond Characteristics, Individual Corporate Bonds, Macro Predictors, Return Predictability, Private Company Bonds.
Corporate Bond Returns, Deep Learning, Factor Models, Stochastic Discount Factor, Tangency Portfolios.
GMM, ridge fusion penalty, stochastic discount factor, time-varying coefficient model.
Bayesian Inference, Cross Section, Factor Selection, Self-Supervised Clustering, Spike-and-Slab.
Characteristic-based benchmark; corporate bond pricing; forecast combination; machine learning; risk premia.
Bayesian predictive regression; prior sensitivity analysis; maximum-a-posteriori; equity-premium predictability; bond risk premia; predictor selection.
Asymmetric price impact, ETFs, Firm characteristics, Inflow and outflow, Institutional investors, Mutual funds.
Machine learning, Regularization, Proximal Algorithm, Nonconvex Optimization, Marketing Demand Forecasting
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
