Hao Ma

USI Università della Svizzera italiana

Via Buffi 13

Lugano, TN 6900

Switzerland

Swiss Finance Institute, Students

c/o University of Geneva

42, Bd du Pont d'Arve

Geneva, CH-1211

Switzerland

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Extracting Statistical Factors When Betas are Time-Varying

Number of pages: 68 Posted: 30 Jul 2019
Patrick Gagliardini and Hao Ma
USI Università della Svizzera italiana and USI Università della Svizzera italiana
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Citation 1

Abstract:

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Large Panel, Unobservable Factors, Conditioning Information, Instrumental Variables, Machine Learning, Post-Lasso, Artificial Neural Networks