1 citations · 2 across the 7 of their papers we have counts for
Showing 2022Show all
2 papers · 1 filter
q-fin.RM2022★ 1 cited
Empirical Asset Pricing via Ensemble Gaussian Process Regression
Damir Filipović, Puneet Pasricha
We introduce an ensemble learning method based on Gaussian Process Regression (GPR) for predicting conditional expected stock returns given stock-level and macro-economic informati…
q-fin.RM2022
A contagion process with self-exciting jumps in credit risk applications
Puneet Pasricha, Dharmaraja Selvamuthu, Selvaraju Natarajan
The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlatio…