Zobrazeno 1 - 10
of 76
pro vyhledávání: '"Patrick Gagliardini"'
Publikováno v:
Commun. Appl. Math. Comput. Sci. 15 (2020) 15-32
Data-driven modelling and computational predictions based on maximum entropy principle (MaxEnt-principle) aim at finding as-simple-as-possible - but not simpler then necessary - models that allow to avoid the data overfitting problem. We derive a mul
Externí odkaz:
http://arxiv.org/abs/2005.03253
Autor:
Federico Carlini, Patrick Gagliardini
Publikováno v:
Econometric Theory. :1-47
We study semiparametric inference in a small-dimensional vector autoregressive (VAR) model of order p augmented by unobservable common factors with a dynamic described by a VAR process of order q. This state-space specification is useful to measure s
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
The Journal of Finance. 77:601-638
We develop a flexible and bias-adjusted approach to jointly examine skill, scalability, and value added across individual funds. We find that skill and scalability (i) vary substantially across funds, and (ii) are strongly related as great investment
Autor:
Illia Horenko, Edoardo Vecchi, Juraj Kardoš, Andreas Wächter, Olaf Schenk, Terence J. O’Kane, Patrick Gagliardini, Susanne Gerber
Publikováno v:
Proceedings of the National Academy of Sciences. 120
Regression learning is one of the long-standing problems in statistics, machine learning, and deep learning (DL). We show that writing this problem as a probabilistic expectation over (unknown) feature probabilities – thus increasing the number of
Publikováno v:
Research in International Business and Finance. 65:101958
Publikováno v:
Commun. Appl. Math. Comput. Sci. 15, no. 2 (2020), 129-146
Data-driven modeling and computational predictions based on the maximum entropy principle (MaxEnt principle) aim to find as simple as possible — but not simpler than necessary — models that allow one to avoid the data-overfitting problem. We deri
Publikováno v:
Journal of Financial Econometrics. 18:585-628
This article presents tests for the existence of common factors spanning two large panels/groups of macroeconomic and financial variables, and the estimation of common and group-specific factors. New analytical results are derived regarding (i) the d
Autor:
Diego Ronchetti, Patrick Gagliardini
Publikováno v:
Journal of Financial Econometrics, 18(4), 736-775. Oxford University Press
Publikováno v:
SSRN Electronic Journal.