Stéphane Guerrier

University of Geneva - Geneva School of Economics and Management

Uni Mail

Bd du Pont-d'Arve 40

Geneva, 1211

Switzerland

SCHOLARLY PAPERS

3

DOWNLOADS

384

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

A penalized two-pass regression to predict stock returns with time-varying risk premia

Swiss Finance Institute Research Paper No. 21-09, Proceedings of Paris December 2021 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 38 Posted: 01 Feb 2021 Last Revised: 19 Oct 2021
Gaetan Bakalli, Stéphane Guerrier and O. Scaillet
Auburn University, University of Geneva - Geneva School of Economics and Management and Swiss Finance Institute - University of Geneva
Downloads 293 (144,718)

Abstract:

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two-pass regression, predictive modeling, large panel, factor model, LASSO penalization.

2.

Swag: A Wrapper Method for Sparse Learning

Swiss Finance Institute Research Paper No. 20-49
Number of pages: 19 Posted: 24 Jun 2020 Last Revised: 30 Jun 2020
Auburn University, Auburn University, University of Geneva - Geneva School of Economics and Management, University of Geneva - Geneva School of Economics and Management, University of Geneva - Geneva School of Economics and Management and Swiss Finance Institute - University of Geneva
Downloads 60 (478,976)

Abstract:

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interpretable machine learning, big data, wrapper, sparse learning, meta learning, ensemble learning, greedy algorithm, feature selection, variable importance network

3.

Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration

Swiss Finance Institute Research Paper No. 21-70
Number of pages: 16 Posted: 22 Oct 2021 Last Revised: 26 Oct 2021
Auburn University, University of Geneva, University of Calgary, University of Calgary, Auburn University, Swiss Finance Institute - University of Geneva and University of Geneva - Geneva School of Economics and Management
Downloads 31 (617,434)

Abstract:

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Generalized Method of Wavelet Moments, Inertial Sensor Calibration, Stochastic Error, Extended Kalman Filter, Navigation