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econ.EM2024
Tuning parameter selection in econometrics
Denis Chetverikov
I review some of the main methods for selecting tuning parameters in nonparametric and -penalized estimation. For the nonparametric estimation, I consider the methods of Ma…
q-fin.GN2024
One Factor to Bind the Cross-Section of Returns
Nicola Borri, Denis Chetverikov, Yukun Liu +1
We propose a new non-linear single-factor asset pricing model . Despite its parsimony, this model represents exactly any non-linear model with an arbit…