Asset pricing via the conditional quantile variational autoencoder
Xuanling Yang, Zhoufan Zhu, Dong Li, and Ke Zhu
| Year of publication: |
2024
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|---|---|
| Authors: | Yang, Xuanling ; Zhu, Zhoufan ; Li, Dong ; Zhu, Ke |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 42.2024, 2, p. 681-694
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| 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 |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2023.2223683 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015053443