120 citations · 192 across the 12 of their papers we have counts for
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econ.EM2024★ 1 cited
Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching
Siyu Bie, Francis X. Diebold, Jingyu He +1
We explore tree-based macroeconomic regime-switching in the context of the dynamic Nelson-Siegel (DNS) yield-curve model. In particular, we customize the tree-growing algorithm to…
econ.EM2019★ 1 cited
Factor Investing: A Bayesian Hierarchical Approach
Guanhao Feng, Jingyu He
This paper investigates asset allocation problems when returns are predictable. We introduce a market-timing Bayesian hierarchical (BH) approach that adopts heterogeneous time-vary…