Autoencoder asset pricing models
Shihao Gu, Bryan Kelly, Dacheng Xiu
| Year of publication: |
2021
|
|---|---|
| Authors: | Gu, Shihao ; Kelly, Bryan T. ; Xiu, Dacheng |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 222.2021, 1,2, p. 429-450
|
| Subject: | Autoencoder | Big data | Conditional asset pricing model | Machine learning | Neural networks | Nonlinear factor model | Stock returns | CAPM | Neuronale Netze | Kapitaleinkommen | Capital income | Künstliche Intelligenz | Artificial intelligence | Theorie | Theory | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2020.07.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012619654