120 citations · 145 across the 8 of their papers we have counts for
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stat.ME2025
Panel Coupled Matrix-Tensor Clustering Model with Applications to Asset Pricing
Liyuan Cui, Guanhao Feng, Yuefeng Han +1
We tackle the challenge of estimating grouping structures and factor loadings in asset pricing models, where traditional regressions struggle due to sparse data and high noise. Exi…
stat.ME2018★ 120 cited
Deep Learning in Characteristics-Sorted Factor Models
Guanhao Feng, Jingyu He, Nicholas G. Polson +1
This paper presents an augmented deep factor model that generates latent factors for cross-sectional asset pricing. The conventional security sorting on firm characteristics for co…
stat.ME2016
Regularizing Bayesian Predictive Regressions
Guanhao Feng, Nicholas G. Polson
We show that regularizing Bayesian predictive regressions provides a framework for prior sensitivity analysis. We develop a procedure that jointly regularizes expectations and vari…