Asset pricing via the conditional quantile variational autoencoder
Year of publication: |
2024
|
---|---|
Authors: | Yang, Xuanling ; Zhu, Zhoufan ; Li, Dong ; Zhu, Ke |
Subject: | Big data | Conditional asset pricing model | Dynamic loadings | Machine learning | Neural networks | Nonlinear quantile factor model | Variational autoencoder | Neuronale Netze | CAPM | Künstliche Intelligenz | Artificial intelligence | Kapitalmarkttheorie | Financial economics | Big Data | Nichtlineare Regression | Nonlinear regression | Prognoseverfahren | Forecasting model | Volatilität | Volatility |
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