Markus Pelger
Stanford University
H-index: 15
North America-United States
Top articles of Markus Pelger
Title | Journal | Author(s) | Publication Date |
---|---|---|---|
Automatic Outlier Rectification via Optimal Transport | arXiv preprint arXiv:2403.14067 | Jose Blanchet Jiajin Li Markus Pelger Greg Zanotti | 2024/3/21 |
Deep learning in asset pricing | Management Science | Luyang Chen Markus Pelger Jason Zhu | 2023/2/20 |
Internet Appendix for Target PCA: Transfer Learning Large Dimensional Panel Data | Available at SSRN | Junting Duan Markus Pelger Ruoxuan Xiong | 2023/8/25 |
Internet Appendix for Missing Financial Data | Available at SSRN 4384755 | Svetlana Bryzgalova Sven Lerner Martin Lettau Markus Pelger | 2023/3/10 |
A simple method for predicting covariance matrices of financial returns | Foundations and Trends® in Econometrics | Kasper Johansson Mehmet G Ogut Markus Pelger Thomas Schmelzer Stephen Boyd | 2023/11/20 |
Asset-Pricing Factors with Economic Targets | Available at SSRN 4344837 | Svetlana Bryzgalova Victor DeMiguel Sicong Li Markus Pelger | 2023/2/1 |
Comment on: Eigenvalue Tests for the Number of Latent Factors in Short Panels | Journal of Financial Econometrics | Alexei Onatski | 2023/10/20 |
Target PCA: Transfer learning large dimensional panel data | Journal of Econometrics | Junting Duan Markus Pelger Ruoxuan Xiong | 2023/10/11 |
Machine-learning the skill of mutual fund managers | Zihan Lin Markus Pelger Stijn Van Nieuwerburgh | 2023/4 | |
Interpretable sparse proximate factors for large dimensions | Journal of Business & Economic Statistics | Markus Pelger Ruoxuan Xiong | 2022/10/2 |
Shrinking the term structure | Damir Filipovic Markus Pelger Ye Ye | 2022/8/8 | |
State-varying factor models of large dimensions | Journal of Business & Economic Statistics | Markus Pelger Ruoxuan Xiong | 2022/6/16 |
Missing financial data | Available at SSRN | Svetlana Bryzgalova Sven Lerner Martin Lettau Markus Pelger | 2022/5/11 |
Inference for large panel data with many covariates | Available at SSRN 4315891 | Markus Pelger Jiacheng Zou | 2022/12/31 |
Stripping the discount curve-a robust machine learning approach | Swiss Finance Institute Research Paper | Damir Filipović Markus Pelger Ye Ye | 2022/3/15 |
Data Science in Science: Special Issue on Data Science in Modern Finance | Carolina Euan Mark B Fiecas Hernando Ombao David S Matteson | 2023/12/31 | |
Bayesian Imputation with Optimal Look-Ahead-Bias and Variance Tradeoff | arXiv preprint arXiv:2202.00871 | Jose Blanchet Fernando Hernandez Viet Anh Nguyen Markus Pelger Xuhui Zhang | 2022/2/2 |
Discussion of “Text Selection” by Bryan Kelly, Asaf Manela, and Alan Moreira | Journal of Business & Economic Statistics | Markus Pelger | 2021/10/2 |
Deep Learning Statistical Arbitrage | arXiv preprint arXiv:2106.04028 | Jorge Guijarro-Ordonez Markus Pelger Greg Zanotti | 2021/6/8 |
Textgnn: Improving text encoder via graph neural network in sponsored search | Jason Zhu Yanling Cui Yuming Liu Hao Sun Xue Li | 2021/4/19 |