Jingyu He

City University of Hong Kong (CityU)

Assistant Professor

83 Tat Chee Avenue

Hong Kong

Hong Kong

  • City University of Hong Kong (CityU)

SCHOLARLY PAPERS

5

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Top 19,238

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4,323

SSRN CITATIONS
Rank 40,479

SSRN RANKINGS

Top 40,479

in Total Papers Citations

16

CROSSREF CITATIONS

3

Scholarly Papers (5)

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1.

Deep Learning in Characteristics-Sorted Factor Models

Number of pages: 52 Posted: 23 Sep 2018 Last Revised: 11 Apr 2023
Guanhao Feng, Jingyu He, Nick Polson and Jianeng Xu
City University of Hong Kong (CityU), City University of Hong Kong (CityU), University of Chicago - Booth School of Business and University of Chicago, Students
Downloads 2,322 (10,243)
Citation 14

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Cross-sectional Returns, Deep Learning, Latent Factors, Pricing Errors, Security Sorting.

2.

Asset Pricing with Panel Tree Under Global Split Criteria

Downloads 799 (50,177)
Citation 1

Asset Pricing with Panel Tree Under Global Split Criteria

Number of pages: 77 Posted: 27 Oct 2021 Last Revised: 19 Dec 2022
Lin William Cong, Guanhao Feng, Jingyu He and Xin He
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 793 (49,999)

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Asset Pricing, Basis Asset, Explainable AI, Latent Factor, Machine Learning, SDF

Asset Pricing with Panel Tree Under Global Split Criteria

NBER Working Paper No. w30805
Number of pages: 78 Posted: 02 Jan 2023 Last Revised: 14 Apr 2023
Lin William Cong, Guanhao Feng, Jingyu He and Xin He
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 6 (975,168)
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3.

Factor Investing: A Bayesian Hierarchical Approach

Journal of Econometrics, Forthcoming
Number of pages: 38 Posted: 06 Feb 2019 Last Revised: 07 Oct 2022
Guanhao Feng and Jingyu He
City University of Hong Kong (CityU) and City University of Hong Kong (CityU)
Downloads 799 (50,177)
Citation 1

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

4.

Uncommon Factors for Bayesian Asset Clusters

Number of pages: 68 Posted: 29 Sep 2022 Last Revised: 21 Nov 2022
Lin William Cong, Guanhao Feng, Jingyu He and Junye Li
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 313 (157,569)

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

5.

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
P. Richard Hahn, Carlos M. Carvalho, Jingyu He and David Puelz
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 90 (449,649)
Citation 7

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linear regression, regularization, treatment effect estimation, shrinkage