4 citations · 7 across the 7 of their papers we have counts for
7 papers
Econometrics of Machine Learning Methods in Economic Forecasting
Andrii Babii, Eric Ghysels, Jonas Striaukas
This paper surveys the recent advances in machine learning method for economic forecasting. The survey covers the following topics: nowcasting, textual data, panel and tensor data,…
Panel Data Nowcasting: The Case of Price-Earnings Ratios
Andrii Babii, Ryan T. Ball, Eric Ghysels +1
The paper uses structured machine learning regressions for nowcasting with panel data consisting of series sampled at different frequencies. Motivated by the problem of predicting…
Tensor PCA for Factor Models
Andrii Babii, Eric Ghysels, Junsu Pan
Modern empirical analysis often relies on high-dimensional panel datasets with non-negligible cross-sectional and time-series correlations. Factor models are natural for capturing…
Binary Choice under Asymmetric Loss in a Data-Rich Environment: Theory and an Application to Algorithmic Fairness
Andrii Babii, Xi Chen, Eric Ghysels +1
We study the binary choice problem in a data-rich environment with asymmetric loss functions. The econometrics literature covers nonparametric binary choice problems but does not o…
Machine Learning Panel Data Regressions with Heavy-tailed Dependent Data: Theory and Application
Andrii Babii, Ryan T. Ball, Eric Ghysels +1
The paper introduces structured machine learning regressions for heavy-tailed dependent panel data potentially sampled at different frequencies. We focus on the sparse-group LASSO…
High-Dimensional Granger Causality Tests with an Application to VIX and News
Andrii Babii, Eric Ghysels, Jonas Striaukas
We study Granger causality testing for high-dimensional time series using regularized regressions. To perform proper inference, we rely on heteroskedasticity and autocorrelation co…
Artificial Intelligence Alter Egos: Who benefits from Robo-investing?
Catherine D'Hondt, Rudy De Winne, Eric Ghysels +1
Artificial intelligence, or AI, enhancements are increasingly shaping our daily lives. Financial decision-making is no exception to this. We introduce the notion of AI Alter Egos,…