Markus Pelger
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Markus |
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Pelger |
Identifer
Contact
Affiliations
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Stanford University
/ Department of Management Science and Engineering
Research profile
author of:
- On the existence of sure profits via flash strategies (RePEc:arx:papers:1708.03099)
by Claudio Fontana & Markus Pelger & Eckhard Platen - State-Varying Factor Models of Large Dimensions (RePEc:arx:papers:1807.02248)
by Markus Pelger & Ruoxuan Xiong - Change-Point Testing for Risk Measures in Time Series (RePEc:arx:papers:1809.02303)
by Lin Fan & Peter W. Glynn & Markus Pelger - Deep Learning in Asset Pricing (RePEc:arx:papers:1904.00745)
by Luyang Chen & Markus Pelger & Jason Zhu - Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference (RePEc:arx:papers:1910.08273)
by Ruoxuan Xiong & Markus Pelger - Deep Learning Statistical Arbitrage (RePEc:arx:papers:2106.04028)
by Jorge Guijarro-Ordonez & Markus Pelger & Greg Zanotti - Bayesian Imputation with Optimal Look-Ahead-Bias and Variance Tradeoff (RePEc:arx:papers:2202.00871)
by Jose Blanchet & Fernando Hernandez & Viet Anh Nguyen & Markus Pelger & Xuhui Zhang - Inference for Large Panel Data with Many Covariates (RePEc:arx:papers:2301.00292)
by Markus Pelger & Jiacheng Zou - A Simple Method for Predicting Covariance Matrices of Financial Returns (RePEc:arx:papers:2305.19484)
by Kasper Johansson & Mehmet Giray Ogut & Markus Pelger & Thomas Schmelzer & Stephen Boyd - Target PCA: Transfer Learning Large Dimensional Panel Data (RePEc:arx:papers:2308.15627)
by Junting Duan & Markus Pelger & Ruoxuan Xiong - Understanding Systematic Risk: A High‐Frequency Approach (RePEc:bla:jfinan:v:75:y:2020:i:4:p:2179-2220)
by Markus Pelger - Stripping the Discount Curve - a Robust Machine Learning Approach (RePEc:chf:rpseri:rp2224)
by Damir Filipović & Markus Pelger & Ye Ye - Shrinking the Term Structure (RePEc:chf:rpseri:rp2261)
by Damir Filipović & Markus Pelger & Ye Ye - Estimating Latent Asset-Pricing Factors (RePEc:cpr:ceprdp:12926)
by Lettau, Martin & Pelger, Markus - Factors that Fit the Time Series and Cross-Section of Stock Returns (RePEc:cpr:ceprdp:13049)
by Lettau, Martin & Pelger, Markus - Machine-Learning the Skill of Mutual Fund Managers (RePEc:cpr:ceprdp:18129)
by Kaniel, Ron & Lin, Zihan & Pelger, Markus & Van Nieuwerburgh, Stijn - Large-dimensional factor modeling based on high-frequency observations (RePEc:eee:econom:v:208:y:2019:i:1:p:23-42)
by Pelger, Markus - Estimating latent asset-pricing factors (RePEc:eee:econom:v:218:y:2020:i:1:p:1-31)
by Lettau, Martin & Pelger, Markus - Large dimensional latent factor modeling with missing observations and applications to causal inference (RePEc:eee:econom:v:233:y:2023:i:1:p:271-301)
by Xiong, Ruoxuan & Pelger, Markus - Machine-learning the skill of mutual fund managers (RePEc:eee:jfinec:v:150:y:2023:i:1:p:94-138)
by Kaniel, Ron & Lin, Zihan & Pelger, Markus & Van Nieuwerburgh, Stijn - Deep Learning in Asset Pricing (RePEc:inm:ormnsc:v:70:y:2024:i:2:p:714-750)
by Luyang Chen & Markus Pelger & Jason Zhu - Estimating Latent Asset-Pricing Factors (RePEc:nbr:nberwo:24618)
by Martin Lettau & Markus Pelger - Factors that Fit the Time Series and Cross-Section of Stock Returns (RePEc:nbr:nberwo:24858)
by Martin Lettau & Markus Pelger - Machine-Learning the Skill of Mutual Fund Managers (RePEc:nbr:nberwo:29723)
by Ron Kaniel & Zihan Lin & Markus Pelger & Stijn Van Nieuwerburgh - Shrinking the Term Structure (RePEc:nbr:nberwo:32472)
by Damir Filipović & Markus Pelger & Ye Ye - CoCos, Bail-In, and Tail Risk (RePEc:ofr:wpaper:13-04)
by Nan Chen & Paul Glasserman & Behzad Nouri & Markus Pelger - Contingent Capital, Tail Risk, and Debt-Induced Collapse (RePEc:oup:rfinst:v:30:y:2017:i:11:p:3921-3969.)
by Nan Chen & Paul Glasserman & Behzad Nouri & Markus Pelger - Factors That Fit the Time Series and Cross-Section of Stock Returns (RePEc:oup:rfinst:v:33:y:2020:i:5:p:2274-2325.)
by Martin Lettau & Markus Pelger & Stijn Van Nieuwerburgh - Unknown item RePEc:taf:apfiec:v:23:y:2013:i:8:p:709-727 (article)
- Discussion of “Text Selection” by Bryan Kelly, Asaf Manela, and Alan Moreira (RePEc:taf:jnlbes:v:39:y:2021:i:4:p:880-882)
by Markus Pelger - State-Varying Factor Models of Large Dimensions (RePEc:taf:jnlbes:v:40:y:2022:i:3:p:1315-1333)
by Markus Pelger & Ruoxuan Xiong - Interpretable Sparse Proximate Factors for Large Dimensions (RePEc:taf:jnlbes:v:40:y:2022:i:4:p:1642-1664)
by Markus Pelger & Ruoxuan Xiong - Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps (RePEc:uts:rpaper:385)
by Claudio Fontana & Markus Pelger & Eckhard Platen