most citedConditional Density Estimation with Neural Networks: Best Practices and Benchmarks

6 citations · 6 across the 2 of their papers we have counts for

collaborators
Showing q-fin.CPShow all

1 paper · 1 filter

q-fin.CP2026

Taming the Option Factor Zoo: A High-Dimensional Analysis

Alexander Walter, Lukas Zimmer, Maxim Ulrich

Option-implied factors are largely, but not entirely, spanned by the equity factor zoo. We construct 137 option-implied characteristics for optionable U.S. stocks from 2004 to 2023…