47 citations · 68 across the 10 of their papers we have counts for
3 papers · 1 filter
Target PCA: Transfer Learning Large Dimensional Panel Data
Junting Duan, Markus Pelger, Ruoxuan Xiong
This paper develops a novel method to estimate a latent factor model for a large target panel with missing observations by optimally using the information from auxiliary panel data…
A Simple Method for Predicting Covariance Matrices of Financial Returns
Kasper Johansson, Mehmet Giray Ogut, Markus Pelger +2
We consider the well-studied problem of predicting the time-varying covariance matrix of a vector of financial returns. Popular methods range from simple predictors like rolling wi…
Inference for Large Panel Data with Many Covariates
Markus Pelger, Jiacheng Zou
This paper proposes a novel testing procedure for selecting a sparse set of covariates that explains a large dimensional panel. Our selection method provides correct false detectio…