Jingyu He

City University of Hong Kong (CityU)

Assistant Professor

83 Tat Chee Avenue

Hong Kong

Hong Kong

SCHOLARLY PAPERS

4

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SSRN CITATIONS

6

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Asset Pricing with Panel Tree under Global Split Criteria

Number of pages: 60 Posted: 27 Oct 2021 Last Revised: 15 Sep 2022
Cornell University - Samuel Curtis Johnson Graduate School of Management, City University of Hong Kong (CityU), City University of Hong Kong (CityU) and Hunan University - College of Finance and Statistics
Downloads 697 (53,795)

Abstract:

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CART, Cross-Sectional Returns, Interpretable AI, Latent Factor, Machine Learning.

2.

Factor Investing: A Bayesian Hierarchical Approach

Journal of Econometrics, Forthcoming
Number of pages: 38 Posted: 06 Feb 2019 Last Revised: 04 Nov 2021
Guanhao Feng and Jingyu He
City University of Hong Kong (CityU) and City University of Hong Kong (CityU)
Downloads 696 (53,601)
Citation 1

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Asset Allocation, Bayes, Hierarchical Prior, Estimation Risk, Characteristics, Macro Predictors, Risk Factor

3.

Regularization and Confounding in Linear Regression for Treatment Effect Estimation

Bayesian Analysis Volume 13, Number 1 (2018), 163-182. https://projecteuclid.org/euclid.ba/1484103680
Number of pages: 20 Posted: 08 Feb 2016 Last Revised: 15 Oct 2018
Arizona State University (ASU) - School of Mathematical and Statistical Sciences, University of Texas at Austin - Red McCombs School of Business, City University of Hong Kong (CityU) and University of Texas at Austin - Red McCombs School of Business
Downloads 75 (437,113)
Citation 7

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linear regression, regularization, treatment effect estimation, shrinkage

4.

Uncommon Factors for Bayesian Asset Clusters

Number of pages: 63
Cornell University - Samuel Curtis Johnson Graduate School of Management, City University of Hong Kong (CityU), City University of Hong Kong (CityU) and Fudan University - School of Management
Downloads 26

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Bayesian Inference, Cross Section, Factor Selection, Self-Supervised Clustering, Spike-and-Slab.