2 papers
econ.EM2026
Benign Overfitting in Economic Forecasting via Noise Regularization
Yuan Liao, Xinjie Ma, Andreas Neuhierl +1
This paper studies linear overparameterized models in economic forecasting and highlights that including noise variables (regressors with no predictive power) regularizes the estim…
econ.EM2025
The Uncertainty of Machine Learning Predictions in Asset Pricing
Yuan Liao, Xinjie Ma, Andreas Neuhierl +1
Machine learning in asset pricing typically predicts expected returns as point estimates, ignoring uncertainty. We develop new methods to construct forecast confidence intervals fo…