Zobrazeno 1 - 10
of 40
pro vyhledávání: '"Markus Pelger"'
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9cd65686b7acf16ccb1abcfc134790df
https://doi.org/10.2139/ssrn.4344837
https://doi.org/10.2139/ssrn.4344837
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fc58b4e84f5588a914a0edea274cd4fb
https://doi.org/10.2139/ssrn.4384755
https://doi.org/10.2139/ssrn.4384755
Autor:
Markus Pelger
Publikováno v:
Journal of Business & Economic Statistics. 39:880-882
The article addresses the important question of how to infer information from text data, which is a high-dimensional form of data. The article proposes to estimate separately the probability of sel...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1ed14cec2b773191a782d6b53fa1f53a
https://doi.org/10.1080/07350015.2021.1948420
https://doi.org/10.1080/07350015.2021.1948420
Autor:
Martin Lettau, Markus Pelger
Publikováno v:
Journal of Econometrics. 218:1-31
We develop an estimator for latent factors in a large-dimensional panel of financial data that can explain expected excess returns. Statistical factor analysis based on Principal Component Analysis (PCA) has problems identifying factors with a small
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cdd5e50161b1dc2ee3d0c817760609f0
https://doi.org/10.1016/j.jeconom.2019.08.012
https://doi.org/10.1016/j.jeconom.2019.08.012
Autor:
Markus Pelger, Martin Lettau
Publikováno v:
The Review of Financial Studies. 33:2274-2325
We propose a new method for estimating latent asset pricing factors that fit the time series and cross-section of expected returns. Our estimator generalizes principal component analysis (PCA) by including a penalty on the pricing error in expected r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2403dfe482269ae6bfb81790f5c27d08
https://doi.org/10.1093/rfs/hhaa020
https://doi.org/10.1093/rfs/hhaa020
Missing time-series data is a prevalent problem in many prescriptive analytics models in operations management, healthcare and finance. Imputation methods for time-series data are usually applied to the full panel data with the purpose of training a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::554ccede2034608e092bb44b11a362c5
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8fb3977b153ba4afe6625a69b938a336
https://doi.org/10.2139/ssrn.4106794
https://doi.org/10.2139/ssrn.4106794
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4cd2d4cf5f7d114a1b71c0e5a4994156
https://doi.org/10.2139/ssrn.4058150
https://doi.org/10.2139/ssrn.4058150
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f539c6b54dc1142800adb67969cd46c0
https://doi.org/10.2139/ssrn.4182649
https://doi.org/10.2139/ssrn.4182649