Markus Pelger : Citation Profile

Are you Markus Pelger?

Stanford University

8

H index

7

i10 index

216

Citations

RESEARCH PRODUCTION:

9

Articles

16

Papers

RESEARCH ACTIVITY:

   10 years (2013 - 2023). See details.
   Cites by year: 21
   Journals where Markus Pelger has often published
   Relations with other researchers
   Recent citing documents: 48.    Total self citations: 8 (3.57 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe959
   Updated: 2024-01-16    RAS profile: 2023-03-16    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Lettau, Martin (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Markus Pelger.

Is cited by:

van Wijnbergen, Sweder (7)

Scaillet, Olivier (5)

Avdjiev, Stefan (4)

Kartasheva, Anastasia (4)

Pesaran, Mohammad (4)

Kapetanios, George (3)

Bai, Jushan (3)

Yang, Xiye (3)

Peng, Bin (3)

Ng, Serena (3)

Baruník, Jozef (3)

Cites to:

Bai, Jushan (17)

Ng, Serena (15)

Lettau, Martin (11)

Xiu, Dacheng (11)

Fama, Eugene (11)

Kozak, Serhiy (10)

Kozak, Serhiy (10)

Nagel, Stefan (10)

Weber, Michael (9)

Reichlin, Lucrezia (9)

Piazzesi, Monika (9)

Main data

Where Markus Pelger has published?

Journals with more than one article published# docs
Journal of Business & Economic Statistics3
Journal of Econometrics2
Review of Financial Studies2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org7
NBER Working Papers / National Bureau of Economic Research, Inc3
CEPR Discussion Papers / C.E.P.R. Discussion Papers2
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2

Recent works citing Markus Pelger (2024 and 2023)

YearTitle of citing document
2023Contingent Convertible Bonds in Financial Networks. (2020). Tantari, Daniele ; Sala, Carlo ; Calice, Giovanni . In: Papers. RePEc:arx:papers:2009.00062.

Full description at Econpapers || Download paper

2023Large Non-Stationary Noisy Covariance Matrices: A Cross-Validation Approach. (2020). , Vincent ; Vincent, ; Zohren, Stefan. In: Papers. RePEc:arx:papers:2012.05757.

Full description at Econpapers || Download paper

2024Adversarial Estimation of Riesz Representers. (2020). Syrgkanis, Vasilis ; Singh, Rahul ; Newey, Whitney ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:2101.00009.

Full description at Econpapers || Download paper

2023Learning Treatment Effects in Panels with General Intervention Patterns. (2021). Peng, Tianyi ; Li, Andrew A ; Farias, Vivek F. In: Papers. RePEc:arx:papers:2106.02780.

Full description at Econpapers || Download paper

2023Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2021). Poon, Ser-Huang ; Zohren, Stefan ; Rahimikia, Eghbal. In: Papers. RePEc:arx:papers:2108.00480.

Full description at Econpapers || Download paper

2023Approximate Factor Models with Weaker Loadings. (2021). Ng, Serena ; Bai, Jushan. In: Papers. RePEc:arx:papers:2109.03773.

Full description at Econpapers || Download paper

2023Semiparametric Conditional Factor Models: Estimation and Inference. (2021). Wang, Xiaoliang ; Roussanov, Nikolai ; Chen, Qihui. In: Papers. RePEc:arx:papers:2112.07121.

Full description at Econpapers || Download paper

2023Term structure modelling with overnight rates beyond stochastic continuity. (2022). Schmidt, Thorsten ; Grbac, Zorana ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2202.00929.

Full description at Econpapers || Download paper

2024Missing Values and the Dimensionality of Expected Returns. (2022). McCoy, Jack ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2207.13071.

Full description at Econpapers || Download paper

2023Matrix Quantile Factor Model. (2022). Zhao, Peng ; Yu, Long ; Liu, Yong-Xin ; Kong, Xin-Bing. In: Papers. RePEc:arx:papers:2208.08693.

Full description at Econpapers || Download paper

2023No-Arbitrage Pricing, Dynamics and Forward Prices of Collateralized Derivatives. (2022). Calvelli, Alessio. In: Papers. RePEc:arx:papers:2208.08746.

Full description at Econpapers || Download paper

2023Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

Full description at Econpapers || Download paper

2023Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828.

Full description at Econpapers || Download paper

2024Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization. (2022). Boyd, Stephen ; Schiele, Philipp ; Luxenberg, Eric. In: Papers. RePEc:arx:papers:2212.02570.

Full description at Econpapers || Download paper

2023Inference for Large Panel Data with Many Covariates. (2023). Zou, Jiacheng ; Pelger, Markus. In: Papers. RePEc:arx:papers:2301.00292.

Full description at Econpapers || Download paper

2023Does Principal Component Analysis Preserve the Sparsity in Sparse Weak Factor Models?. (2023). Zhang, Yonghui ; Wei, Jie. In: Papers. RePEc:arx:papers:2305.05934.

Full description at Econpapers || Download paper

2023A Simple Method for Predicting Covariance Matrices of Financial Returns. (2023). Boyd, Stephen ; Schmelzer, Thomas ; Pelger, Markus ; Ogut, Mehmet Giray ; Johansson, Kasper. In: Papers. RePEc:arx:papers:2305.19484.

Full description at Econpapers || Download paper

2023Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617.

Full description at Econpapers || Download paper

2023New general dependence measures: construction, estimation and application to high-frequency stock returns. (2023). Leeuwenkamp, Aleksy ; Hu, Wentao. In: Papers. RePEc:arx:papers:2309.00025.

Full description at Econpapers || Download paper

2023Dynamic Realized Minimum Variance Portfolio Models. (2023). Oh, Minseog ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2310.13511.

Full description at Econpapers || Download paper

2023Dealer capacity and US Treasury market functionality. (2023). Van Tassel, Peter ; Fleming, Michael ; Shachar, OR ; Nelson, Claire ; Keane, Frank ; Duffie, Darrell. In: BIS Working Papers. RePEc:bis:biswps:1138.

Full description at Econpapers || Download paper

2023Timing the factor zoo via deep learning: Evidence from China. (2023). Jiang, Fuwei ; Liao, Cunfei ; Ma, Tian. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:1:p:485-505.

Full description at Econpapers || Download paper

2023Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models. (2023). Julliard, Christian ; Huang, Jiantao ; Bryzgalova, Svetlana. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:487-557.

Full description at Econpapers || Download paper

2023Pricing Currency Risks. (2023). Chernov, Mikhail ; Lochstoer, Lars ; Dahlquist, Magnus. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:2:p:693-730.

Full description at Econpapers || Download paper

2023Model Comparison with Transaction Costs. (2023). Velikov, Mihail ; Novymarx, Robert ; Detzel, Andrew. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1743-1775.

Full description at Econpapers || Download paper

2023Macroprudential Regulation: A Risk Management Approach. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:765.

Full description at Econpapers || Download paper

2023Online missing value imputation for high-dimensional mixed-type data via generalized factor models. (2023). Zhou, Ling ; Luo, Lan ; Liu, Wei. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:187:y:2023:i:c:s0167947323001330.

Full description at Econpapers || Download paper

2023The RP-PCA factors and stock return predictability: An aligned approach. (2023). Shi, QI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001978.

Full description at Econpapers || Download paper

2023Canonical correlation-based model selection for the multilevel factors. (2023). Shin, Yongcheol ; Lin, Rui ; Choi, IN. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:22-44.

Full description at Econpapers || Download paper

2023Identifying latent factors based on high-frequency data. (2023). Zhang, Chuanhai ; Xu, Wen ; Sun, Yucheng. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:251-270.

Full description at Econpapers || Download paper

2023Large dimensional latent factor modeling with missing observations and applications to causal inference. (2023). Pelger, Markus ; Xiong, Ruoxuan. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:271-301.

Full description at Econpapers || Download paper

2023Approximate factor models with weaker loadings. (2023). Ng, Serena ; Bai, Jushan. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1893-1916.

Full description at Econpapers || Download paper

2023Machine learning and the cross-section of emerging market stock returns. (2023). Kalsbach, Tobias ; Hanauer, Matthias X. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000274.

Full description at Econpapers || Download paper

2023Automated stock picking using random forests. (2023). Breitung, Christian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:532-556.

Full description at Econpapers || Download paper

2023Dynamic asset (mis)pricing: Build-up versus resolution anomalies. (2023). OPP, CHRISTIAN ; Tamoni, Andrea ; Boons, Martijn ; van Binsbergen, Jules H. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:2:p:406-431.

Full description at Econpapers || Download paper

2023What matters in a characteristic?. (2023). Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:1:p:52-72.

Full description at Econpapers || Download paper

2023Exploring the zoo of predictors for mutual fund performance in China. (2023). Rao, Xiao ; Li, Zhiyong. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x22002256.

Full description at Econpapers || Download paper

2023Does machine learning help private sectors to alarm crises? Evidence from China’s currency market. (2023). Zong, LU ; Wang, Peiwan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:611:y:2023:i:c:s0378437123000250.

Full description at Econpapers || Download paper

2023Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2023). Yang, Xiye ; Neely, Christopher J ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490.

Full description at Econpapers || Download paper

2023Dealer Capacity and U.S. Treasury Market Functionality. (2023). van Tassel, Peter ; Shachar, OR ; Nelson, Claire ; Keane, Frank M ; Fleming, Michael J ; Duffie, Darrell. In: Staff Reports. RePEc:fip:fednsr:96553.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Housing Risk and Returns in Submarkets with Spatial Dependence and Heterogeneity. (2023). Earl, G ; Morawakage, P S ; Omura, A ; Roca, E ; Liu, B. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:67:y:2023:i:4:d:10.1007_s11146-021-09877-7.

Full description at Econpapers || Download paper

2023Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework. (2023). Zhou, Wei-Xing ; Jawadi, Fredj ; Xu, Hai-Chuan. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:1:d:10.1007_s00181-022-02338-x.

Full description at Econpapers || Download paper

2023High-dimensional estimation of quadratic variation based on penalized realized variance. (2023). Podolskij, Mark ; Nielsen, Mikkel Slot ; Christensen, Kim. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:26:y:2023:i:2:d:10.1007_s11203-022-09282-8.

Full description at Econpapers || Download paper

2023Macroprudential Regulation: A Risk Management Approach. (2023). Dimitrov, Daniel ; van Wijnbergen, Sweder. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230002.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Clustering-based sector investing. (2023). Goodarzi, Milad ; Bagnara, Matteo. In: SAFE Working Paper Series. RePEc:zbw:safewp:397.

Full description at Econpapers || Download paper

Works by Markus Pelger:

YearTitleTypeCited
2019On the existence of sure profits via flash strategies In: Papers.
[Full Text][Citation analysis]		paper5
2020State-Varying Factor Models of Large Dimensions In: Papers.
[Full Text][Citation analysis]		paper8
2022State-Varying Factor Models of Large Dimensions.(2022) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		article
2023Change-Point Testing for Risk Measures in Time Series In: Papers.
[Full Text][Citation analysis]		paper1
2021Deep Learning in Asset Pricing In: Papers.
[Full Text][Citation analysis]		paper25
2022Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference In: Papers.
[Full Text][Citation analysis]		paper9
2022Deep Learning Statistical Arbitrage In: Papers.
[Full Text][Citation analysis]		paper0
2023Bayesian Imputation with Optimal Look-Ahead-Bias and Variance Tradeoff In: Papers.
[Full Text][Citation analysis]		paper0
2020Understanding Systematic Risk: A High?Frequency Approach In: Journal of Finance.
[Full Text][Citation analysis]		article16
2022Stripping the Discount Curve - a Robust Machine Learning Approach In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper3
2022Shrinking the Term Structure In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2018Estimating Latent Asset-Pricing Factors In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper34
2020Estimating latent asset-pricing factors.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		article
2018Estimating Latent Asset-Pricing Factors.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		paper
2018Factors that Fit the Time Series and Cross-Section of Stock Returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper36
2018Factors that Fit the Time Series and Cross-Section of Stock Returns.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		paper
2020Factors That Fit the Time Series and Cross-Section of Stock Returns.(2020) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		article
2019Large-dimensional factor modeling based on high-frequency observations In: Journal of Econometrics.
[Full Text][Citation analysis]		article26
2022Machine-Learning the Skill of Mutual Fund Managers In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
2013CoCos, Bail-In, and Tail Risk In: Working Papers.
[Full Text][Citation analysis]		paper17
2017Contingent Capital, Tail Risk, and Debt-Induced Collapse In: Review of Financial Studies.
[Full Text][Citation analysis]		article29
2013New performance-vested stock option schemes In: Applied Financial Economics.
[Full Text][Citation analysis]		article1
2021Discussion of “Text Selection” by Bryan Kelly, Asaf Manela, and Alan Moreira In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
2022Interpretable Sparse Proximate Factors for Large Dimensions In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article2
2017Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps In: Research Paper Series.
[Full Text][Citation analysis]		paper1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team