The evolving causal structure of equity risk factors-Reference-Cited by-同舟云学术

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The evolving causal structure of equity risk factors

Published:2021-11-03 Issue: Volume: Page:
ISSN:
Container-title:Proceedings of the Second ACM International Conference on AI in Finance
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Author:

D'Acunto Gabriele¹,Bajardi Paolo²,Bonchi Francesco²,De Francisci Morales Gianmarco²

Affiliation:

1. Sapienza University of Rome, Italy

2. ISI Foundation, Turin, Italy

Publisher

ACM

Link

https://dl.acm.org/doi/pdf/10.1145/3490354.3494370

Reference47 articles.

1. Alan Agresti . 2018. An introduction to categorical data analysis . John Wiley & Sons . 74--90 pages. Alan Agresti. 2018. An introduction to categorical data analysis. John Wiley & Sons. 74--90 pages.

2. The Devil in HML’s Details

3. Quality minus junk

4. Marco Bardoscia , Paolo Barucca , Stefano Battiston , Fabio Caccioli , Giulio Cimini , Diego Garlaschelli , Fabio Saracco , Tiziano Squartini , and Guido Caldarelli . 2021. The Physics of Financial Networks. arXiv preprint arXiv:2103.05623 ( 2021 ). Marco Bardoscia, Paolo Barucca, Stefano Battiston, Fabio Caccioli, Giulio Cimini, Diego Garlaschelli, Fabio Saracco, Tiziano Squartini, and Guido Caldarelli. 2021. The Physics of Financial Networks. arXiv preprint arXiv:2103.05623 (2021).

5. Econometric measures of connectedness and systemic risk in the finance and insurance sectors

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