Markus Pelger : Citation Profile

Stanford University

10

H index

10

i10 index

281

Citations

RESEARCH PRODUCTION:

12

Articles

20

Papers

RESEARCH ACTIVITY:

   11 years (2013 - 2024). See details.
   Cites by year: 25
   Journals where Markus Pelger has often published
   Relations with other researchers
   Recent citing documents: 64.    Total self citations: 12 (4.1 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe959
   Updated: 2025-03-15    RAS profile: 2024-09-06    
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Relations with other researchers

Works with:

Kaniel, Ron (2)

Lettau, Martin (2)

Van Nieuwerburgh, Stijn (2)

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

Is cited by:

Yang, Xiye (8)

van Wijnbergen, Sweder (7)

Scaillet, Olivier (5)

Uribe, Jorge (5)

Avdjiev, Stefan (4)

Gomez-Gonzalez, Jose (4)

Kartasheva, Anastasia (4)

Baruník, Jozef (4)

Bai, Jushan (4)

Pesaran, Mohammad (4)

Peng, Bin (3)

Cites to:

Bai, Jushan (21)

Ng, Serena (18)

Fama, Eugene (14)

Xiu, Dacheng (14)

Lettau, Martin (14)

French, Kenneth (12)

Bollerslev, Tim (11)

Kozak, Serhiy (11)

Nagel, Stefan (11)

Kozak, Serhiy (11)

Weber, Michael (10)

Main data

Where Markus Pelger has published?

Journals with more than one article published# docs
Journal of Econometrics3
Journal of Business & Economic Statistics3
The Review of Financial Studies2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org10
NBER Working Papers / National Bureau of Economic Research, Inc4
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2
CEPR Discussion Papers / C.E.P.R. Discussion Papers2

Recent works citing Markus Pelger (2025 and 2024)

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

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2024Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2021). Poon, Ser-Huang ; Zohren, Stefan ; Rahimikia, Eghbal. In: Papers. RePEc:arx:papers:2108.00480.

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2024Deep Calibration of Interest Rates Model. (2021). Sarr, Djibril ; Kebaier, Ahmed ; ben Alaya, Mohamed. In: Papers. RePEc:arx:papers:2110.15133.

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

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2024Matrix Quantile Factor Model. (2022). Zhao, Peng ; Yu, Long ; Liu, Yong-Xin ; Kong, Xin-Bing. In: Papers. RePEc:arx:papers:2208.08693.

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2024No-Arbitrage Pricing, Dynamics and Forward Prices of Collateralized Derivatives. (2022). Calvelli, Alessio. In: Papers. RePEc:arx:papers:2208.08746.

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2024Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2024Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828.

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2025Empirical Asset Pricing via Ensemble Gaussian Process Regression. (2022). Pasricha, Puneet ; Filipovi, Damir. In: Papers. RePEc:arx:papers:2212.01048.

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

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2024Does Principal Component Analysis Preserve the Sparsity in Sparse Weak Factor Models?. (2023). Zhang, Yonghui ; Wei, Jie. In: Papers. RePEc:arx:papers:2305.05934.

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2024Jump detection in high-frequency order prices. (2024). Ristig, Alexander ; Hautsch, Nikolaus ; Bibinger, Markus. In: Papers. RePEc:arx:papers:2403.00819.

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2025Beyond Monte Carlo: Harnessing Diffusion Models to Simulate Financial Market Dynamics. (2024). Lesniewski, Andrew ; Trigila, Giulio. In: Papers. RePEc:arx:papers:2412.00036.

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2024VAR models with an index structure: A survey with new results. (2024). Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2412.11278.

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2024AI-Enhanced Factor Analysis for Predicting S&P 500 Stock Dynamics. (2024). Lin, Xintong ; Yang, Zichen ; Gu, Jiajun ; Lu, Yuting ; Chen, Sixun. In: Papers. RePEc:arx:papers:2412.12438.

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2024Mean--Variance Portfolio Selection by Continuous-Time Reinforcement Learning: Algorithms, Regret Analysis, and Empirical Study. (2024). Yu, Xun ; Jia, Yanwei ; Huang, Yilie. In: Papers. RePEc:arx:papers:2412.16175.

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2025Robust Quantile Factor Analysis. (2025). Feng, Junlong ; Chen, Songnian. In: Papers. RePEc:arx:papers:2501.15761.

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2025Growing the Efficient Frontier on Panel Trees. (2025). He, Jingyu ; Feng, Guanhao ; Cong, Lin William. In: Papers. RePEc:arx:papers:2501.16730.

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2025Quasi maximum likelihood estimation of high-dimensional approximate dynamic matrix factor models via the EM algorithm. (2025). Trapin, Luca ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2502.04112.

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2024.

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2024Time-varying minimum variance portfolio. (2024). Fan, Qingliang (Michael) ; Zhong, Wei ; Yang, Yanrong ; Wu, Ruike. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622001646.

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2024Mining the factor zoo: Estimation of latent factor models with sufficient proxies. (2024). Song, Rui ; Lu, Wenbin ; Li, Yingying ; Wan, Runzhe. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623000179.

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2024Inference for low-rank completion without sample splitting with application to treatment effect estimation. (2024). Liao, Yuan ; Kwon, Hyukjun ; Choi, Jungjun. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000289.

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2024High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times. (2024). Chen, Dachuan. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000472.

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2024GMM estimation for high-dimensional panel data models. (2024). LINTON, OLIVER ; Dong, Chaohua ; Cheng, Tingting ; Gao, Jiti. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001982.

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2024Forecasting realized volatility: Does anything beat linear models?. (2024). Rubesam, Alexandre ; Branco, Rafael R ; Zevallos, Mauricio. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000598.

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2024Big portfolio selection by graph-based conditional moments method. (2024). Zhu, Zhoufan ; Zhang, Ningning. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000689.

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2024Assessing the crypto market stability after the FTX collapse: A study of high frequency volatility and connectedness. (2024). Jareo, Francisco ; Escribano, Ana ; Esparcia, Carlos. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002199.

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2024Choice for smart investment in mutual funds: Single- or multi-period performance ranks. (2024). Oh, Haejune ; Ha, Yeonjeong. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323010838.

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2024Potential pricing factors in the Korean market. (2024). Kang, Yeonchan ; Bang, Jeongseok ; Ryu, Doojin. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324009760.

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2024Outlier-robust methods for forecasting realized covariance matrices. (2024). Clements, Adam ; Drovandi, Christopher ; Li, Dan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:392-408.

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2024Pure risk, agency conflict, and hedging. (2024). Zheng, Wenyuan ; Li, Bingqing ; Chen, LU. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:168:y:2024:i:c:s0378426624002085.

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2024Persistent and transitory components of firm characteristics: Implications for asset pricing. (2024). Tamoni, Andrea ; Boons, Martijn ; Baba-Yara, Fahiz. In: Journal of Financial Economics. RePEc:eee:jfinec:v:154:y:2024:i:c:s0304405x2400031x.

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2024Missing values handling for machine learning portfolios. (2024). McCoy, Jack ; Chen, Andrew Y. In: Journal of Financial Economics. RePEc:eee:jfinec:v:155:y:2024:i:c:s0304405x24000382.

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2024High frequency monitoring of credit creation: A new tool for central banks in emerging market economies. (2024). Uribe, Jorge ; Gomez-Gonzalez, Jose ; Giraldo, Iader. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:97:y:2024:i:c:s1062976924000991.

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2024Performance of crypto-Forex portfolios based on intraday data. (2024). Lopez, Raquel ; Esparcia, Carlos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000096.

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2025.

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2024Forecasting returns with machine learning and optimizing global portfolios: evidence from the Korean and U.S. stock markets. (2024). Chun, Dohyun ; Kang, Jongho ; Kim, Jihun. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00648-w.

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2025FinTech: a literature review of emerging financial technologies and applications. (2025). Kou, Gang ; Lu, Yang. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00668-6.

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2024Dynamic Realized Minimum Variance Portfolio Models. (2024). Oh, Minseog ; Kim, Donggyu. In: Working Papers. RePEc:ucr:wpaper:202421.

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2025Quantile-Covariance Three-Pass Regression Filter. (2025). Lee, Tae-Hwy ; Chavez-Lopez, Pedro Isaac. In: Working Papers. RePEc:ucr:wpaper:202501.

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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]		paper12
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: 12		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]		paper28
2024Deep Learning in Asset Pricing.(2024) In: Management Science.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		article
2022Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference In: Papers.
[Full Text][Citation analysis]		paper21
2023Large dimensional latent factor modeling with missing observations and applications to causal inference.(2023) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		article
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
2023Inference for Large Panel Data with Many Covariates In: Papers.
[Full Text][Citation analysis]		paper0
2023A Simple Method for Predicting Covariance Matrices of Financial Returns In: Papers.
[Full Text][Citation analysis]		paper5
2023Target PCA: Transfer Learning Large Dimensional Panel Data In: Papers.
[Full Text][Citation analysis]		paper0
2020Understanding Systematic Risk: A High‐Frequency Approach In: Journal of Finance.
[Full Text][Citation analysis]		article18
2022Stripping the Discount Curve - a Robust Machine Learning Approach In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper6
2022Shrinking the Term Structure In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2024Shrinking the Term Structure.(2024) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2018Estimating Latent Asset-Pricing Factors In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper39
2020Estimating latent asset-pricing factors.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		article
2018Estimating Latent Asset-Pricing Factors.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		paper
2018Factors that Fit the Time Series and Cross-Section of Stock Returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper51
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: 51		paper
2020Factors That Fit the Time Series and Cross-Section of Stock Returns.(2020) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51		article
2019Large-dimensional factor modeling based on high-frequency observations In: Journal of Econometrics.
[Full Text][Citation analysis]		article33
2023Machine-learning the skill of mutual fund managers In: Journal of Financial Economics.
[Full Text][Citation analysis]		article10
2022Machine-Learning the Skill of Mutual Fund Managers.(2022) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2013Stress Scenario Selection by Empirical Likelihood In: Working Papers.
[Full Text][Citation analysis]		paper17
2017Contingent Capital, Tail Risk, and Debt-Induced Collapse In: The Review of Financial Studies.
[Full Text][Citation analysis]		article31
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

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