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Autoencoder asset pricing models
Gu, Shihao; Kelly, Bryan T.; Xiu, Dacheng - In: Journal of econometrics 222 (2021) 1,2, pp. 429-450
Persistent link: https://www.econbiz.de/10012619654
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Empirical asset pricing with multi-period disaster risk : a simulation-based approach
Sönksen, Jantje; Grammig, Joachim - In: Journal of econometrics 222 (2021) 1,3, pp. 805-832
Persistent link: https://www.econbiz.de/10012619790
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Macroeconomic uncertainty prices when beliefs are tenuous
Hansen, Lars Peter; Sargent, Thomas J. - In: Journal of econometrics 223 (2021) 1, pp. 222-250
Persistent link: https://www.econbiz.de/10012619969
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Estimating latent asset-pricing factors
Lettau, Martin; Pelger, Markus - In: Journal of econometrics 218 (2020) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10012482858
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Power enhancement for testing multi-factor asset pricing models via Fisher's method
Yu, Xiufan; Yao, Jiawei; Xue, Lingzhou - In: Journal of econometrics 239 (2024) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10015074451
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Annals of econometrics: frontiers of financial econometrics and financial engineering
Ghysels, Eric (contributor);  … - 2003
Persistent link: https://www.econbiz.de/10001772158
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Mining the factor zoo : estimation of latent factor models with sufficient proxies
Wan, Runzhe; Li, Yingying; Lu, Wenbin; Song, Rui - In: Journal of econometrics 239 (2024) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10015074454
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Generalized aggregation of misspecified models : with an application to asset pricing
Gospodinov, Nikolaj; Maasoumi, Esfandiar - In: Journal of econometrics 222 (2021) 1,2, pp. 451-467
Persistent link: https://www.econbiz.de/10012619705
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A diagnostic criterion for approximate factor structure
Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - In: Journal of econometrics 212 (2019) 2, pp. 503-521
Persistent link: https://www.econbiz.de/10012304081
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A two-step indirect inference approach to estimate the long-run risk asset pricing model
Grammig, Joachim; Küchlin, Eva-Maria - In: Journal of econometrics 205 (2018) 1, pp. 6-33
Persistent link: https://www.econbiz.de/10012110233