47 citations · 68 across the 10 of their papers we have counts for
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econ.EM2019★ 2 cited
Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference
Ruoxuan Xiong, Markus Pelger
This paper develops the inferential theory for latent factor models estimated from large dimensional panel data with missing observations. We propose an easy-to-use all-purpose est…
q-fin.ST2019
Deep Learning in Asset Pricing
Luyang Chen, Markus Pelger, Jason Zhu
We use deep neural networks to estimate an asset pricing model for individual stock returns that takes advantage of the vast amount of conditioning information, while keeping a ful…