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Understanding momentum and reversal
Kelly, Bryan T.; Moskowitz, Tobias J.; Pruitt, Seth - In: Journal of financial economics 140 (2021) 3, pp. 726-743
Persistent link: https://www.econbiz.de/10013259592
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Detection of units with pervasive effects in large panel data models
Kapetanios, George; Pesaran, M. Hashem; Reese, S. - In: Journal of econometrics 221 (2021) 2, pp. 510-541
Persistent link: https://www.econbiz.de/10012619248
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Variable selection and inference for multi-period forecasting problems
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009
Persistent link: https://www.econbiz.de/10003814581
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A factor model for option returns
Büchner, Matthias; Kelly, Bryan T. - In: Journal of financial economics 143 (2022) 3, pp. 1140-1161
Persistent link: https://www.econbiz.de/10013402153
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Factor models, machine learning, and asset pricing
Giglio, Stefano; Kelly, Bryan T.; Xiu, Dacheng - In: Annual review of financial economics 14 (2022), pp. 337-368
Persistent link: https://www.econbiz.de/10013461140
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Narrative asset pricing : interpretable systematic risk factors from news text
Bybee, Leland; Kelly, Bryan T.; Su, Yinan - In: The review of financial studies 36 (2023) 12, pp. 4759-4787
Persistent link: https://www.econbiz.de/10014446371