Markus Pelger : Citation Profile

Are you Markus Pelger?

Stanford University

8

H index

8

i10 index

240

Citations

RESEARCH PRODUCTION:

10

Articles

20

Papers

RESEARCH ACTIVITY:

   11 years (2013 - 2024). See details.
   Cites by year: 21
   Journals where Markus Pelger has often published
   Relations with other researchers
   Recent citing documents: 84.    Total self citations: 12 (4.76 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppe959
   Updated: 2024-12-03    RAS profile: 2024-09-06    
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Relations with other researchers

Works with:

Kaniel, Ron (2)

Van Nieuwerburgh, Stijn (2)

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:

Yang, Xiye (5)

van Wijnbergen, Sweder (5)

Avdjiev, Stefan (4)

Kartasheva, Anastasia (4)

Pesaran, Mohammad (4)

Scaillet, Olivier (4)

Baruník, Jozef (4)

Bai, Jushan (4)

Uribe, Jorge (4)

Neuhierl, Andreas (3)

Kapetanios, George (3)

Cites to:

Bai, Jushan (18)

Ng, Serena (16)

Lettau, Martin (13)

Fama, Eugene (11)

Xiu, Dacheng (11)

Nagel, Stefan (10)

Kozak, Serhiy (10)

Kozak, Serhiy (10)

Weber, Michael (10)

French, Kenneth (10)

Reichlin, Lucrezia (9)

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, Inc4
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2
CEPR Discussion Papers / C.E.P.R. Discussion Papers2

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.

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

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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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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.

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

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

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

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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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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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2023Matrix Completion When Missing Is Not at Random and Its Applications in Causal Panel Data Models. (2023). Yuan, Ming ; Choi, Jungjun. In: Papers. RePEc:arx:papers:2308.02364.

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

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

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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.

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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.

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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.

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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.

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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.

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2024.

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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.

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2023Machine learning goes global: Cross-sectional return predictability in international stock markets. (2023). Zaremba, Adam ; Metko, Daniel ; Fieberg, Christian ; Cakici, Nusret. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:155:y:2023:i:c:s0165188923001318.

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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.

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2023Determining the number of change-points in high-dimensional factor models by cross-validation with matrix completion. (2023). Wu, Jianhong ; Zhou, Ruichao. In: Economics Letters. RePEc:eee:ecolet:v:232:y:2023:i:c:s0165176523003750.

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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.

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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.

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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.

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2023Uniform predictive inference for factor models with instrumental and idiosyncratic betas. (2023). Yang, Xiye ; Liao, Yuan ; Cheng, Mingmian. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002123.

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2023Are bond returns predictable with real-time macro data?. (2023). Li, Kunpeng ; Jiang, Fuwei ; Huang, Dashan ; Zhou, Guofu ; Tong, Guoshi. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001161.

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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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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.

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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.

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2023Attention is all you need: An interpretable transformer-based asset allocation approach. (2023). Chen, YU ; Wang, Wanwan ; Ma, Tian. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003927.

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2023When do investors go green? Evidence from a time-varying asset-pricing model. (2023). Panzica, Roberto ; Ossola, Elisa ; Alessi, Lucia. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004143.

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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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2023Did cryptomarket chaos unleash Silvergates bankruptcy? investigating the high-frequency volatility and connectedness behind the collapse. (2023). Esparcia, Carlos ; Escribano, Ana ; Jareo, Francisco. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001191.

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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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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.

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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.

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2023Cross-stock momentum and factor momentum. (2023). Yu, Jialin ; Yan, Jingda. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:2:s0304405x23001563.

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2023Machine learning and fund characteristics help to select mutual funds with positive alpha. (2023). Gil-Bazo, Javier ; Demiguel, Victor ; Nogales, Francisco J. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:3:s0304405x23001770.

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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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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.

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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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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.

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2023.

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2023Generalized Synthetic Control for TestOps at ABI: Models, Algorithms, and Infrastructure. (2023). Farias, Vivek F ; Costa, Luis ; Popovic, Dusan ; Peng, Tianyi ; Pathak, Kumarjit ; Montenegro, Ivo Rosa ; Garg, Ayush ; Gan, Jingyuan ; Foncea, Patricio. In: Interfaces. RePEc:inm:orinte:v:53:y:2023:i:5:p:336-349.

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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.

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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.

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2023.

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

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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]		paper10
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: 10		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]		paper27
2022Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference In: Papers.
[Full Text][Citation analysis]		paper19
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: 19		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]		paper2
2023Target PCA: Transfer Learning Large Dimensional Panel Data In: Papers.
[Full Text][Citation analysis]		paper0
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]		paper37
2020Estimating latent asset-pricing factors.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 37		article
2018Estimating Latent Asset-Pricing Factors.(2018) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 37		paper
2018Factors that Fit the Time Series and Cross-Section of Stock Returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper44
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: 44		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: 44		article
2019Large-dimensional factor modeling based on high-frequency observations In: Journal of Econometrics.
[Full Text][Citation analysis]		article30
2023Machine-learning the skill of mutual fund managers In: Journal of Financial Economics.
[Full Text][Citation analysis]		article8
2022Machine-Learning the Skill of Mutual Fund Managers.(2022) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2013CoCos, Bail-In, and Tail Risk 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]		article30
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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