Details about Markus Pelger

Access statistics for papers by Markus Pelger.

Last updated 2024-09-06. Update your information in the RePEc Author Service.

Short-id: ppe959

Working Papers

2024

1. Shrinking the Term Structure
   NBER Working Papers, National Bureau of Economic Research, Inc
   Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2022)

2023

2. A Simple Method for Predicting Covariance Matrices of Financial Returns
   Papers, arXiv.org View citations (5)
3. Bayesian Imputation with Optimal Look-Ahead-Bias and Variance Tradeoff
   Papers, arXiv.org
4. Change-Point Testing for Risk Measures in Time Series
   Papers, arXiv.org View citations (1)
5. Inference for Large Panel Data with Many Covariates
   Papers, arXiv.org
6. Machine-Learning the Skill of Mutual Fund Managers
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2022) View citations (3)
   See also Journal Article Machine-learning the skill of mutual fund managers, Journal of Financial Economics, Elsevier (2023) View citations (7) (2023)
7. Target PCA: Transfer Learning Large Dimensional Panel Data
   Papers, arXiv.org

2022

8. Deep Learning Statistical Arbitrage
   Papers, arXiv.org
9. Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference
   Papers, arXiv.org View citations (9)
   See also Journal Article Large dimensional latent factor modeling with missing observations and applications to causal inference, Journal of Econometrics, Elsevier (2023) View citations (12) (2023)
10. Stripping the Discount Curve - a Robust Machine Learning Approach
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (6)

2021

11. Deep Learning in Asset Pricing
    Papers, arXiv.org View citations (24)
    See also Journal Article Deep Learning in Asset Pricing, Management Science, INFORMS (2024) View citations (2) (2024)

2020

12. State-Varying Factor Models of Large Dimensions
    Papers, arXiv.org View citations (9)
    See also Journal Article State-Varying Factor Models of Large Dimensions, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) View citations (8) (2022)

2019

13. On the existence of sure profits via flash strategies
    Papers, arXiv.org View citations (5)

2018

14. Estimating Latent Asset-Pricing Factors
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (17)
    See also Journal Article Estimating latent asset-pricing factors, Journal of Econometrics, Elsevier (2020) View citations (30) (2020)
15. Factors that Fit the Time Series and Cross-Section of Stock Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (5)
    See also Journal Article Factors That Fit the Time Series and Cross-Section of Stock Returns, The Review of Financial Studies, Society for Financial Studies (2020) View citations (53) (2020)

2017

16. Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)

2013

17. Stress Scenario Selection by Empirical Likelihood
    Working Papers, Office of Financial Research, US Department of the Treasury View citations (14)

Journal Articles

2024

1. Deep Learning in Asset Pricing
   Management Science, 2024, 70, (2), 714-750 View citations (2)
   See also Working Paper Deep Learning in Asset Pricing, Papers (2021) View citations (24) (2021)

2023

2. Large dimensional latent factor modeling with missing observations and applications to causal inference
   Journal of Econometrics, 2023, 233, (1), 271-301 View citations (12)
   See also Working Paper Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference, Papers (2022) View citations (9) (2022)
3. Machine-learning the skill of mutual fund managers
   Journal of Financial Economics, 2023, 150, (1), 94-138 View citations (7)
   See also Working Paper Machine-Learning the Skill of Mutual Fund Managers, CEPR Discussion Papers (2023) (2023)

2022

4. Interpretable Sparse Proximate Factors for Large Dimensions
   Journal of Business & Economic Statistics, 2022, 40, (4), 1642-1664 View citations (3)
5. State-Varying Factor Models of Large Dimensions
   Journal of Business & Economic Statistics, 2022, 40, (3), 1315-1333 View citations (8)
   See also Working Paper State-Varying Factor Models of Large Dimensions, Papers (2020) View citations (9) (2020)

2021

6. Discussion of “Text Selection” by Bryan Kelly, Asaf Manela, and Alan Moreira
   Journal of Business & Economic Statistics, 2021, 39, (4), 880-882

2020

7. Estimating latent asset-pricing factors
   Journal of Econometrics, 2020, 218, (1), 1-31 View citations (30)
   See also Working Paper Estimating Latent Asset-Pricing Factors, NBER Working Papers (2018) View citations (12) (2018)
8. Factors That Fit the Time Series and Cross-Section of Stock Returns
   The Review of Financial Studies, 2020, 33, (5), 2274-2325 View citations (53)
   See also Working Paper Factors that Fit the Time Series and Cross-Section of Stock Returns, NBER Working Papers (2018) View citations (6) (2018)
9. Understanding Systematic Risk: A High‐Frequency Approach
   Journal of Finance, 2020, 75, (4), 2179-2220 View citations (20)

2019

10. Large-dimensional factor modeling based on high-frequency observations
    Journal of Econometrics, 2019, 208, (1), 23-42 View citations (37)

2017

11. Contingent Capital, Tail Risk, and Debt-Induced Collapse
    The Review of Financial Studies, 2017, 30, (11), 3921-3969 View citations (30)

2013

12. New performance-vested stock option schemes
    Applied Financial Economics, 2013, 23, (8), 709-727 View citations (1)