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Cross-sectional Returns, Deep Learning, Latent Factors, Nonlinearity, Security Sorting.
Decision Tree, Efficient Frontier, Factors, Interpretable AI, Test Assets
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Asset Allocation, Bayes, Hierarchical Prior, Estimation Risk, Characteristics, Macro Predictors, Risk Factor
Decision Tree, Macro-Finance, Term Structure, Regime Switching, Dynamic Nelson-Siegel Model, Bayesian Estimation JEL Classification: C11, E43, G12
Anomaly, Characteristics, Heterogeneous Predictability, Regime Switches, Goal-oriented Clustering
Decision Tree, Bayesian Spike-and-Slab, Factor Selection, Heterogeneity, Structural Breaks.
Business Cycles, Currency Returns, Panel Tree, Regime Shifts, Risk Premia
Asset Pricing, Bayesian Estimation, Clustering Tree, Factors, Heterogeneity, Panel Data, Sparsity, Spike-and-Slab, Structural Breaks
Hansen-Jagannathan Bound, Stochastic Discount Factor, Bayesian Learning, Factor Timing, Volatility Timing, Factor Momentum
Bankruptcy, ChatGPT, Generative AI, News Data, Sentiment JEL Classification: C53, G11, G17, G33
linear regression, regularization, treatment effect estimation, shrinkage
Bankruptcy, ChatGPT, Generative AI, News Data, Sentiment
