Markus Pelger : Citation Profile

Stanford University

10

H index

10

i10 index

414

Citations

RESEARCH PRODUCTION:

12

Articles

21

Papers

RESEARCH ACTIVITY:

   12 years (2013 - 2025). See details.
   Cites by year: 34
   Journals where Markus Pelger has often published
   Relations with other researchers
   Recent citing documents: 167.    Total self citations: 12 (2.82 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppe959
   Updated: 2026-04-04    RAS profile: 2025-04-28    
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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)

Su, Liangjun (6)

Uribe, Jorge (6)

Scaillet, Olivier (5)

Gomez-Gonzalez, Jose (5)

Avdjiev, Stefan (4)

Bai, Jushan (4)

Cubadda, Gianluca (4)

Pesaran, Mohammad (4)

Ng, Serena (4)

Cites to:

Bai, Jushan (21)

Ng, Serena (19)

Lettau, Martin (14)

Xiu, Dacheng (14)

Fama, Eugene (14)

French, Kenneth (12)

Nagel, Stefan (11)

Kozak, Serhiy (11)

Kozak, Serhiy (11)

Bollerslev, Tim (11)

Weber, Michael (10)

Main data

Where Markus Pelger has published?

Journals with more than one article published# docs
Journal of Business & Economic Statistics3
Journal of Econometrics3
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, Inc5
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
2026Deep Learning, Predictability, and Optimal Portfolio Returns. (2021). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394.

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2025Binary Choice with Asymmetric Loss in a Data-Rich Environment: Theory and an Application to Racial Justice. (2021). Babii, Andrii ; Chen, XI ; Kumar, Rohit ; Ghysels, Eric. In: Papers. RePEc:arx:papers:2010.08463.

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

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2026Realised Volatility Forecasting: Machine Learning via Financial Word Embedding. (2024). Zohren, Stefan ; Poon, Ser-Huang ; Rahimikia, Eghbal. In: Papers. RePEc:arx:papers:2108.00480.

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

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2025Semiparametric Conditional Factor Models in Asset Pricing. (2025). Roussanov, Nikolai ; Wang, Xiaoliang ; Chen, Qihui. In: Papers. RePEc:arx:papers:2112.07121.

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2024Missing Values Handling for Machine Learning Portfolios. (2024). McCoy, Jack ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2207.13071.

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

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

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2026Common Idiosyncratic Quantile Risk. (2024). Baruník, Jozef ; Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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

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2026Empirical Asset Pricing via Ensemble Gaussian Process Regression. (2025). 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. (2024). 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?. (2024). Zhang, Yonghui ; Wei, Jie. In: Papers. RePEc:arx:papers:2305.05934.

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2024Markowitz Portfolio Construction at Seventy. (2024). Schmelzer, Thomas ; Boyd, Stephen ; Kahn, Ronald ; Schiele, Philipp ; Johansson, Kasper. In: Papers. RePEc:arx:papers:2401.05080.

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2025Robust Functional Data Analysis for Stochastic Evolution Equations in Infinite Dimensions. (2024). Schroers, Dennis. In: Papers. RePEc:arx:papers:2401.16286.

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2025Jump detection in high-frequency order prices. (2024). Hautsch, Nikolaus ; Bibinger, Markus ; Ristig, Alexander. In: Papers. RePEc:arx:papers:2403.00819.

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2024Heterogeneous Treatment Effects in Panel Data. (2024). Levi, Retsef ; Perakis, Georgia ; Zhang, Emily ; Paulson, Elisabeth. In: Papers. RePEc:arx:papers:2406.05633.

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2024Dynamic Asset Allocation with Asset-Specific Regime Forecasts. (2024). Shu, Yizhan ; Mulvey, John M ; Yu, Chenyu. In: Papers. RePEc:arx:papers:2406.09578.

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2025Predicting the distributions of stock returns around the globe in the era of big data and learning. (2024). Baruník, Jozef ; Tobek, Ondrej ; Hronec, Martin. In: Papers. RePEc:arx:papers:2408.07497.

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2025Cross-sectional Dependence in Idiosyncratic Volatility. (2024). Tewou, Kokouvi ; Kalnina, Ilze. In: Papers. RePEc:arx:papers:2408.13437.

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2024Improving Estimation of Portfolio Risk Using New Statistical Factors. (2024). Tsay, Ruey ; Chen, Rong ; Guerard, John ; Liu, Xialu. In: Papers. RePEc:arx:papers:2409.17182.

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

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2025VAR 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). Lu, Yuting ; Chen, Sixun ; Lin, Xintong ; Yang, Zichen ; Gu, Jiajun. In: Papers. RePEc:arx:papers:2412.12438.

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2025Mean--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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2026Robust 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). Feng, Guanhao ; He, Jingyu ; Cong, Lin William. In: Papers. RePEc:arx:papers:2501.16730.

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2026Quasi maximum likelihood estimation of high-dimensional approximate dynamic matrix factor models via the EM algorithm. (2025). Barigozzi, Matteo ; Trapin, Luca. In: Papers. RePEc:arx:papers:2502.04112.

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2025Assessing Uncertainty in Stock Returns: A Gaussian Mixture Distribution-Based Method. (2025). Wang, Yanlong ; Xu, Jian ; Huang, Shao-Lun ; Sun, Danny Dongning ; Zhang, Xiao-Ping. In: Papers. RePEc:arx:papers:2503.06929.

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2026Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure. (2025). Zhang, Ruixun ; Xu, Yumin ; Chen, Minshuo. In: Papers. RePEc:arx:papers:2504.06566.

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2026Optimal Capital Structure for Life Insurance Companies Offering Surplus Participation. (2025). Stadje, Mitja ; Fiessinger, Felix. In: Papers. RePEc:arx:papers:2504.12851.

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2025Asset Pricing in Pre-trained Transformer. (2025). Lai, Shanyan. In: Papers. RePEc:arx:papers:2505.01575.

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2025Multilayer Perceptron Neural Network Models in Asset Pricing: An Empirical Study on Large-Cap US Stocks. (2025). Lai, Shanyan. In: Papers. RePEc:arx:papers:2505.01921.

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2025NewsNet-SDF: Stochastic Discount Factor Estimation with Pretrained Language Model News Embeddings via Adversarial Networks. (2025). Wang, Shunyao ; Cheng, Ming. In: Papers. RePEc:arx:papers:2505.06864.

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2025A Set-Sequence Model for Time Series. (2025). Giesecke, Kay ; Sadhwani, Apaar ; Epstein, Elliot L. In: Papers. RePEc:arx:papers:2505.11243.

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2025Covariate-Adjusted Deep Causal Learning for Heterogeneous Panel Data Models. (2025). Yu, Xiufan ; Han, Yuefeng ; Zhou, Guanhao. In: Papers. RePEc:arx:papers:2505.20536.

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2025Winners vs. Losers: Momentum-based Strategies with Intertemporal Choice for ESG Portfolios. (2025). Jha, Ayush ; Rachev, Svetlozar T ; Fabozzi, Frank J ; Jaffri, Ali ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2505.24250.

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2025High-Dimensional Learning in Finance. (2025). Fallahgoul, Hasan. In: Papers. RePEc:arx:papers:2506.03780.

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2025Data Synchronization at High Frequencies. (2025). Kong, Xinbing ; Liu, Cheng ; Wu, Bin. In: Papers. RePEc:arx:papers:2507.12220.

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2026How weak are weak factors? Uniform inference for signal strength in signal plus noise models. (2025). Sodin, Sasha ; Gorin, Vadim ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2507.18554.

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2025Interpretable Factors of Firm Characteristics. (2025). Zhu, Yingzi ; Zhou, Guofu ; Jiao, Yuxiao. In: Papers. RePEc:arx:papers:2508.02253.

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2025Statistical Arbitrage in Options Markets by Graph Learning and Synthetic Long Positions. (2025). Klabjan, Diego ; Hong, Yoonsik. In: Papers. RePEc:arx:papers:2508.14762.

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2025Variable selection for minimum-variance portfolios. (2025). Moura, Guilherme V ; Torrent, Hudson S. In: Papers. RePEc:arx:papers:2508.14986.

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2025Is attention truly all we need? An empirical study of asset pricing in pretrained RNN sparse and global attention models. (2025). Lai, Shanyan. In: Papers. RePEc:arx:papers:2508.19006.

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2025FR-LUX: Friction-Aware, Regime-Conditioned Policy Optimization for Implementable Portfolio Management. (2025). Zhang, Jian'An. In: Papers. RePEc:arx:papers:2510.02986.

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2025Exploring the Synergy of Quantitative Factors and Newsflow Representations from Large Language Models for Stock Return Prediction. (2025). Hauptmann, Emmanuel ; Guo, Tian. In: Papers. RePEc:arx:papers:2510.15691.

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2025Learning to Manage Investment Portfolios beyond Simple Utility Functions. (2025). Farmer, Doyne J ; Calinescu, Anisoara ; Mahfouz, Mahmoud ; Scholl, Maarten P. In: Papers. RePEc:arx:papers:2510.26165.

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2025Diffolio: A Diffusion Model for Multivariate Probabilistic Financial Time-Series Forecasting and Portfolio Construction. (2025). Cho, So-Yoon ; Ban, Kayoung ; Kim, Jin-Young ; Koo, Hyeng Keun. In: Papers. RePEc:arx:papers:2511.07014.

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2025Re(Visiting) Time Series Foundation Models in Finance. (2025). Rahimikia, Eghbal ; Ni, Hao ; Wang, Weiguan. In: Papers. RePEc:arx:papers:2511.18578.

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2025Interpretable Deep Learning for Stock Returns: A Consensus-Bottleneck Asset Pricing Model. (2025). Jeong, Younwoo ; Kim, Changeun ; Jang, Bong-Gyu. In: Papers. RePEc:arx:papers:2512.16251.

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2025Relative arbitrage problem under eigenvalue lower bounds. (2025). Shkolnikov, Mykhaylo ; Soner, Mete H ; Lai, Jou-Hua. In: Papers. RePEc:arx:papers:2512.17702.

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2026Uncertainty-Adjusted Sorting for Asset Pricing with Machine Learning. (2026). Wang, Zigan ; Luo, YE ; Liu, Yan ; Zhang, Xiaowei. In: Papers. RePEc:arx:papers:2601.00593.

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2026The Limits of Complexity: Why Feature Engineering Beats Deep Learning in Investor Flow Prediction. (2026). Kang, Sungwoo. In: Papers. RePEc:arx:papers:2601.07131.

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2026Selecting and Testing Asset Pricing Models: A Stepwise Approach. (2026). Lan, Wei ; Zhang, Jun ; Wang, Hansheng ; Feng, Guanhao. In: Papers. RePEc:arx:papers:2601.10279.

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2026Autonomous Market Intelligence: Agentic AI Nowcasting Predicts Stock Returns. (2026). Chen, Zefeng ; Pu, Darcy. In: Papers. RePEc:arx:papers:2601.11958.

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2026A machine learning approach to volatility forecasting. (2026). Veliyev, Bezirgen ; Siggaard, Mathias ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.13014.

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2026MarketGANs: Multivariate financial time-series data augmentation using generative adversarial networks. (2026). Lim, Byung Hwa ; Koo, Hyeng Keun ; Kim, Hyun-Gyoon ; Jeong, Seungwon ; Huh, Jeonggyu. In: Papers. RePEc:arx:papers:2601.17773.

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2026Insider Purchase Signals in Microcap Equities: Gradient Boosting Detection of Abnormal Returns. (2026). Zhao, Hangyi. In: Papers. RePEc:arx:papers:2602.06198.

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2026Overreaction as an indicator for momentum in algorithmic trading: A Case of AAPL stocks. (2026). Ślepaczuk, Robert ; Sakowski, Pawel ; Lis, Szymon. In: Papers. RePEc:arx:papers:2602.18912.

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2026Stochastic Discount Factors with Cross-Asset Spillovers. (2026). He, Xin ; Avramov, Doron. In: Papers. RePEc:arx:papers:2602.20856.

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2026Same Error, Different Function: The Optimizer as an Implicit Prior in Financial Time Series. (2026). Beneventano, Pierfrancesco ; Poggio, Tomaso ; Crippa, Giulia ; Iannone, Giuseppe ; Cortesi, Federico Vittorio. In: Papers. RePEc:arx:papers:2603.02620.

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2026The Factor Structure of Jump Risk. (2025). Ding, YI ; Andersen, Torben G ; Yu, Seunghyeon ; Todorov, Viktor. In: Working Papers. RePEc:boa:wpaper:202531.

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2025Dual Industry Effects and Cross-Stock Predictability. (2025). Li, S ; Ge, S ; Avramov, D ; Linton, O B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2512.

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2025Dual Industry Effects and Cross-Stock Predictability. (2025). Linton, O B ; Ge, S ; Avramov, D. In: Janeway Institute Working Papers. RePEc:cam:camjip:2506.

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2024Movements in Yields, Not the Equity Premium: Bernanke-Kuttner Redux. (2024). Nagel, Stefan ; Xu, Zhengyang. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11305.

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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: Documentos de trabajo. RePEc:col:000566:021077.

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2025Soft going-concern capital buffer? CoCo non-calls and revealed bank distress. (2025). Huang, Dongxia ; Fu, Qilong ; Deng, Kaihua. In: Journal of Corporate Finance. RePEc:eee:corfin:v:93:y:2025:i:c:s0929119925000707.

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2025Granular information and sectoral movements. (2025). Jiang, Hao ; Li, Sophia Zhengzi ; Yuan, Peixuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:171:y:2025:i:c:s0165188924002100.

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2025Forecasting energy commodity returns: Can weak factors and nonlinearity help?. (2025). Ma, Yong ; Liu, Xiaojun. In: Economic Modelling. RePEc:eee:ecmode:v:153:y:2025:i:c:s0264999325002901.

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2024Time-varying minimum variance portfolio. (2024). Fan, Qingliang (Michael) ; Yang, Yanrong ; Zhong, Wei ; 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). Li, Yingying ; Lu, Wenbin ; Wan, Runzhe ; Song, Rui. 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 ; Choi, Jungjun ; Kwon, Hyukjun. 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 ; GAO, Jiti ; Dong, Chaohua ; Cheng, Tingting. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001982.

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2024Target PCA: Transfer learning large dimensional panel data. (2024). Pelger, Markus ; Duan, Junting ; Xiong, Ruoxuan. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407623002373.

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2025Modelling large dimensional datasets with Markov switching factor models. (2025). Barigozzi, Matteo ; Massacci, Daniele. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002707.

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2025Spanning latent and observable factors. (2025). Gagliardini, P ; Ghysels, E ; Rubin, M ; Andreou, E. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624000897.

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2025Three-dimensional heterogeneous panel data models with multi-level interactive fixed effects. (2025). Su, Liangjun ; Jin, Sainan ; Lu, Xun. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000119.

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2025Tensor time series imputation through tensor factor modelling. (2025). Lam, Clifford ; Cen, Zetai. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000284.

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2025Cross-sectional dependence in idiosyncratic volatility. (2025). Kalnina, Ilze ; Tewou, Kokouvi. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000570.

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2025Inference for large dimensional factor models under general missing data patterns. (2025). Su, Liangjun ; Wang, FA. In: Journal of Econometrics. RePEc:eee:econom:v:250:y:2025:i:c:s0304407625000764.

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2025A robust residual-based test for structural changes in factor models. (2025). Yan, Yayi ; Su, Liangjun ; Peng, Bin. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s030440762500096x.

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2025High frequency factor analysis with partially observable factors. (2025). Lu, Wenqi ; Chen, Dachuan ; Xie, Siyu. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625001125.

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2025Sieve estimation of state-varying factor models. (2025). Su, Liangjun ; Jin, Sainan ; Wang, Xia. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625001186.

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2025Deep learning based residuals in non-linear factor models: Precision matrix estimation of returns with low signal-to-noise ratio. (2025). Caner, Mehmet ; Daniele, Maurizio. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s030440762500137x.

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2025Matrix-valued factor model with time-varying main effects. (2025). Cen, Zetai ; Lam, Clifford. In: Journal of Econometrics. RePEc:eee:econom:v:252:y:2025:i:pa:s0304407625001599.

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2024Forecasting realized volatility: Does anything beat linear models?. (2024). Zevallos, Mauricio ; Rubesam, Alexandre ; Branco, Rafael R. 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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2024A comparison of factor models in China. (2024). Wang, Jinzhe ; Zhu, Yifeng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000823.

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2025A unified duration-based explanation of the value, profitability, and investment anomalies. (2025). Li, Tao ; Chen, Shan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:84:y:2025:i:c:s0927539825000672.

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2025Investing in the batteries and vehicles of the future: A view through the stock market. (2025). Plante, Michael. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325000398.

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2025Optimal conversion ratio of contingent capital under issuance constraints. (2025). Zhang, Sijia ; Xia, Xin ; Gan, Liu. In: International Review of Financial Analysis. RePEc:eee:finana:v:100:y:2025:i:c:s105752192500050x.

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2025In the shadows of opacity: Firm information quality and latent factor model performance. (2025). Zhang, Guanglong ; Wang, Chuyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:100:y:2025:i:c:s1057521925000572.

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2025Autoencoder asset pricing models and economic restrictions — international evidence. (2025). Nechvátalová, Lenka ; Nechvtalov, Lenka. In: International Review of Financial Analysis. RePEc:eee:finana:v:107:y:2025:i:c:s105752192500729x.

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

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2025A novel HAR-type realized volatility forecasting model using graph neural network. (2025). Yin, Xuebao ; Yao, Yuhang ; Hu, Nan. In: International Review of Financial Analysis. RePEc:eee:finana:v:98:y:2025:i:c:s1057521924008135.

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

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2024Currency portfolios and global foreign exchange ambiguity. (2024). Sakemoto, Ryuta ; Cai, Xiaojing ; Asano, Takao. In: Finance Research Letters. RePEc:eee:finlet:v:65:y:2024:i:c:s1544612324005646.

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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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2025A complementary valuation model and exit multiples. (2025). Ryu, Doojin ; Kang, Hyoung-Goo. In: Finance Research Letters. RePEc:eee:finlet:v:79:y:2025:i:c:s1544612325004453.

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More than 100 citations found, this list is not complete...

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]		paper18
2022State-Varying Factor Models of Large Dimensions.(2022) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 18		article
2025Change-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]		paper70
2024Deep Learning in Asset Pricing.(2024) In: Management Science.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 70		article
2022Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference In: Papers.
[Full Text][Citation analysis]		paper30
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: 30		article
2022Deep Learning Statistical Arbitrage In: Papers.
[Full Text][Citation analysis]		paper2
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]		paper9
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]		article26
2022Stripping the Discount Curve - a Robust Machine Learning Approach In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper7
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]		paper51
2020Estimating latent asset-pricing factors.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51		article
2018Estimating Latent Asset-Pricing Factors.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51		paper
2018Factors that Fit the Time Series and Cross-Section of Stock Returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper69
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: 69		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: 69		article
2019Large-dimensional factor modeling based on high-frequency observations In: Journal of Econometrics.
[Full Text][Citation analysis]		article45
2023Machine-learning the skill of mutual fund managers In: Journal of Financial Economics.
[Full Text][Citation analysis]		article25
2022Machine-Learning the Skill of Mutual Fund Managers.(2022) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 25		paper
2025Imputation-Powered Inference for Missing Covariates In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
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]		article34
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]		article3
2017Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps In: Research Paper Series.
[Full Text][Citation analysis]		paper1

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