Asset Pricing via the Conditional Quantile Variational Autoencoder-Reference-Cited by-同舟云学术

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Asset Pricing via the Conditional Quantile Variational Autoencoder

Published:2023-07-11 Issue: Volume: Page:1-14
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Yang Xuanling¹,Zhu Zhoufan²,Li Dong¹^ORCID,Zhu Ke³^ORCID

Affiliation:

1. Center for Statistical Science, Department of Industrial Engineering, Tsinghua University, Beijing, China

2. School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai, China

3. Department of Statistics and Actuarial Science, University of Hong Kong, Hong Kong

Funder

NSFC

GRF, RGC of Hong Kong

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2023.2223683

Reference49 articles.

1. Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity

2. Approaching Mean-Variance Efficiency for Large Portfolios

3. Inferential Theory for Factor Models of Large Dimensions

4. Panel Data Models With Interactive Fixed Effects

5. Determining the Number of Factors in Approximate Factor Models

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Big portfolio selection by graph-based conditional moments method;Journal of Empirical Finance;2024-09

2. Improving the explainability of autoencoder factors for commodities through forecast-based Shapley values;Scientific Reports;2024-08-23

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