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Dissecting Characteristics Nonparametrically. (2017). Weber, Michael ; Freyberger, Joachim ; Neuhierl, Andreas.
In: NBER Working Papers.
RePEc:nbr:nberwo:23227.

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Cited: 39

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  1. Economic Predictions With Big Data: The Illusion of Sparsity. (2021). Giannone, Domenico ; Primiceri, Giorgio E ; Lenza, Michele.
    In: Econometrica.
    RePEc:wly:emetrp:v:89:y:2021:i:5:p:2409-2437.

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  2. Portfolio efficiency with high-dimensional data as conditioning information. (2021). Vigo Pereira, Caio.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001460.

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  3. Autoencoder asset pricing models. (2021). Xiu, Dacheng ; Kelly, Bryan ; Gu, Shihao.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:222:y:2021:i:1:p:429-450.

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  4. Economic predictions with big data: the illusion of sparsity. (2021). Giannone, Domenico ; Primiceri, Giorgio E ; Lenza, Michele.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20212542.

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  5. Deep Learning Statistical Arbitrage. (2021). Pelger, Markus ; Guijarro-Ordonez, Jorge ; Zanotti, Greg.
    In: Papers.
    RePEc:arx:papers:2106.04028.

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  6. Statistical Arbitrage Risk Premium by Machine Learning. (2021). Tam, Yu-Man.
    In: Papers.
    RePEc:arx:papers:2103.09987.

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  7. Diverging roads: Theory-based vs. machine learning-implied stock risk premia. (2020). Sönksen, Jantje ; Grammig, Joachim ; Sonksen, Jantje ; Schlag, Christian ; Hanenberg, Constantin.
    In: University of Tübingen Working Papers in Business and Economics.
    RePEc:zbw:tuewef:130.

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  8. Open source cross-sectional asset pricing. (2020). Zimmermann, Tom ; Chen, Andrew Y.
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:2004.

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  9. Portfolio Efficiency with High-Dimensional Data as Conditioning Information. (2020). Vigo Pereira, Caio.
    In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
    RePEc:kan:wpaper:202015.

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  10. Information Aggregation and P-Hacking. (2020). Zhong, Xun ; Rytchkov, Oleg.
    In: Management Science.
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  11. Zeroing in on the Expected Returns of Anomalies. (2020). Chen, Andrew ; Velikov, Mihail.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2020-39.

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  12. Measuring skewness premia. (2020). Langlois, Hugues.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:135:y:2020:i:2:p:399-424.

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  13. Shrinking the cross-section. (2020). Nagel, Stefan ; Kozak, Serhiy ; Santosh, Shrihari.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:135:y:2020:i:2:p:271-292.

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  14. Important factors determining Fintech loan default: Evidence from a lendingclub consumer platform. (2020). Vulanovic, Milos ; Korivi, Tarunsai ; Jagtiani, Julapa ; Croux, Christophe.
    In: Journal of Economic Behavior & Organization.
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  15. Are Characteristics Covariances or Characteristics?. (2020). Fieberg, Christian ; Hornuf, Lars.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_8377.

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  16. A Dynamic Network of Arbitrage Characteristics. (2020). Linton, O.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:2060.

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  17. Taming the Factor Zoo: A Test of New Factors. (2020). Xiu, Dacheng ; Giglio, Stefano ; Feng, Guanhao.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:75:y:2020:i:3:p:1327-1370.

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  18. Estimating The Anomaly Base Rate. (2019). Weber, Michael ; Neuhierl, Andreas ; Chinco, Alexander M.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:26493.

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  19. Predicting Returns With Text Data. (2019). Xiu, Dacheng ; Kelly, Bryan T.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:26186.

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  20. Machine learning in empirical asset pricing. (2019). Weigand, Alois.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:33:y:2019:i:1:d:10.1007_s11408-019-00326-3.

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  21. Anatomy of a Sovereign Debt Crisis: CDS Spreads and Real-Time Macroeconomic Data. (2019). Savona, Roberto ; Balduzzi, Pierluigi ; Alessi, Lucia.
    In: Working Papers.
    RePEc:jrs:wpaper:201903.

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  22. Characteristics are covariances: A unified model of risk and return. (2019). Su, Yinan ; Pruitt, Seth ; Kelly, Bryan T.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:134:y:2019:i:3:p:501-524.

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  23. A diagnostic criterion for approximate factor structure. (2019). Scaillet, Olivier ; Ossola, Elisa ; Gagliardini, Patrick.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:212:y:2019:i:2:p:503-521.

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  24. Signaling Safety. (2019). Weber, Michael ; Rossi, Stefano ; Michaely, Roni.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:14174.

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  25. Deep Learning in Asset Pricing. (2019). Zhu, Jason ; Pelger, Markus ; Chen, Luyang.
    In: Papers.
    RePEc:arx:papers:1904.00745.

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  26. Empirical Asset Pricing via Machine Learning. (2018). Xiu, Dacheng ; Kelly, Bryan ; Gu, Shihao.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:25398.

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  27. Characteristics Are Covariances: A Unified Model of Risk and Return. (2018). Pruitt, Seth ; Su, Yinan ; Kelly, Bryan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:24540.

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  28. Economic predictions with big data: the illusion of sparsity. (2018). Primiceri, Giorgio ; Lenza, Michele ; Giannone, Domenico.
    In: Staff Reports.
    RePEc:fip:fednsr:847.

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  29. Cash flow duration and the term structure of equity returns. (2018). Weber, Michael.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:128:y:2018:i:3:p:486-503.

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  30. A new risk factor based on equity duration. (2018). Mohrschladt, Hannes ; Nolte, Sven.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:96:y:2018:i:c:p:126-135.

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  31. Factors that Fit the Time Series and Cross-Section of Stock Returns. (2018). Lettau, Martin ; Pelger, Markus.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:13049.

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  32. Large-Scale Dynamic Predictive Regressions. (2018). Bianchi, Daniele ; McAlinn, Kenichiro.
    In: Papers.
    RePEc:arx:papers:1803.06738.

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  33. Short- and Long-Horizon Behavioral Factors. (2017). Hirshleifer, David ; Sun, Lin ; Daniel, Kent.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:24163.

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  34. Shrinking the Cross Section. (2017). Nagel, Stefan ; Santosh, Shrihari ; Kozak, Serhiy.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:24070.

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  35. Sparse Signals in the Cross-Section of Returns. (2017). Chinco, Alexander M ; Ye, Mao ; Clark-Joseph, Adam D.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:23933.

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  36. Shrinking the Cross Section. (2017). Nagel, Stefan ; Santosh, Shrihari ; Kozak, Serhiy.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:12463.

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  37. A Portfolio Perspective on the Multitude of Firm Characteristics. (2017). de Miguel, Victor ; Uppal, Raman ; Nogales, Francisco J ; Martin-Utrera, Alberto ; Demiguel, Victor.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:12417.

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  38. Economic Predictions with Big Data: The Illusion Of Sparsity. (2017). Primiceri, Giorgio ; Lenza, Michele ; Giannone, Domenico.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:12256.

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  39. Monetary Momentum. (2017). Weber, Michael ; Neuhierl, Andreas.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_6648.

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  11. Risk Shifting and Mutual Fund Performance. (2009). Sialm, Clemens ; Huang, Jennifer ; Zhang, Hanjiang .
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  12. Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns. (2009). Cakici, Nusret ; Bali, Turan G. ; Whitelaw, Robert F..
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  13. Idiosyncratic Risk and REIT Returns. (2009). Ooi, Joseph ; Wang, Jingliang ; Webb, James.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:38:y:2009:i:4:p:420-442.

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  14. Performance measurement of hedge funds managers. (2008). Dobrin, Octavian ; Bagu, Constantin ; Popa, Ion ; Tiu, Cristian .
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  15. Cross-Sectional Dispersion of Firm Valuations and Expected Stock Returns. (2008). Jiang, Danling.
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  16. Realization Utility. (2008). Xiong, Wei ; Barberis, Nicholas C..
    In: NBER Working Papers.
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  17. A New Method to Estimate Risk and Return of Non-Traded Assets from Cash Flows: The Case of Private Equity Funds. (2008). phalippou, ludovic ; Lin, Tse-Chun ; Driessen, Joost.
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  18. High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence. (2008). zhang, xiaoyan ; Xing, Yuhang ; Hodrick, Robert.
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  19. Liquidity and leverage. (2008). Shin, Hyun Song ; Adrian, Tobias.
    In: Staff Reports.
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  20. Realized volatility. (2008). Benzoni, Luca ; Andersen, Torben.
    In: Working Paper Series.
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  21. Expected Stock Returns and Variance Risk Premia. (2008). Tauchen, George ; Bollerslev, Tim ; Hao, Tzuo.
    In: CREATES Research Papers.
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  22. Semiparametric Inference in a GARCH-in-Mean Model. (2008). Iglesias, Emma ; Dahl, Christian ; Christensen, Bent Jesper.
    In: CREATES Research Papers.
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  23. FIEGARCH-M and and International Crises: A Cross-Country Analysis. (2008). Zhu, Jie.
    In: CREATES Research Papers.
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  24. Pricing Volatility of Stock Returns with Volatile and Persistent Components. (2008). Zhu, Jie.
    In: CREATES Research Papers.
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  25. Short-Sale Constraints and the Non-January Idiosyncratic Volatility Puzzle. (2007). Jiang, Danling ; Doran, James ; Peterson, David .
    In: MPRA Paper.
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  26. Construction and Interpretation of Model-Free Implied Volatility. (2007). Andersen, Torben ; Bondarenko, Oleg.
    In: NBER Working Papers.
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  27. Preferred Risk Habitat of Individual Investors. (2007). Huberman, Gur ; Dorn, Daniel.
    In: CEPR Discussion Papers.
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  28. Construction and Interpretation of Model-Free Implied Volatility. (2007). Andersen, Torben ; Bondarenko, Oleg.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-24.

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  29. Realized Volatility and Asymmetries in the A.S.E. Returns. (2006). Thomakos, Dimitrios ; Koubouros, Michail.
    In: Finance.
    RePEc:wpa:wuwpfi:0507012.

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  30. Realized Volatility and Asymmetries in the A.S.E. Returns. (2006). Thomakos, Dimitrios ; Koubouros, Michail.
    In: Finance.
    RePEc:wpa:wuwpfi:0504009.

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  31. Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis. (2006). He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto.
    In: Research Paper Series.
    RePEc:uts:rpaper:186.

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  32. Asset Prices and asset Correlations in Illiquid Markets. (2006). Brunetti, Celso.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:331.

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  33. In Search of Distress Risk. (2006). Hilscher, Jens ; Campbell, John ; Szilagyi, Jan .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12362.

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  34. Financial Distress and Idiosyncratic Volatility: An Empirical Investigation. (2006). Chen, Jing ; Chollete, Loran .
    In: Discussion Papers.
    RePEc:hhs:nhhfms:2006_008.

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  35. Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims. (2006). zhang, xiaoyan ; Wang, Zhenyu.
    In: Staff Reports.
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  36. Stock returns and volatility: pricing the short-run and long-run components of market risk. (2006). Rosenberg, Joshua ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:254.

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  37. Visible and hidden risk factors for banks. (2006). Stiroh, Kevin ; Schuermann, Til.
    In: Staff Reports.
    RePEc:fip:fednsr:252.

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  38. The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries. (2006). Guo, Hui ; Savickas, Robert .
    In: Working Papers.
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  39. Aggregate idiosyncratic volatility in G7 countries. (2006). Guo, Hui.
    In: Working Papers.
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  40. Expected stock returns and variance risk premia. (2006). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2007-11.

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  41. Investor Overreaction, Cross-Sectional Dispersion of Firm Valuations, and Expected Stock Returns. (2006). Jiang, Danling.
    In: Working Paper Series.
    RePEc:ecl:ohidic:2006-8.

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  42. In search of distress risk. (2005). Hilscher, Jens ; Campbell, John ; Szilagyi, Jan .
    In: Discussion Paper Series 1: Economic Studies.
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  43. Downside Risk. (2005). Xing, Yuhang ; Ang, Andrew ; Chen, Joseph.
    In: NBER Working Papers.
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  44. Idiosyncratic volatility, stock market volatility, and expected stock returns. (2005). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2003-028.

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  45. Using implied volatility to measure uncertainty about interest rates. (2005). Neely, Christopher.
    In: Review.
    RePEc:fip:fedlrv:y:2005:i:may:p:407-425:n:v.87no.3.

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  46. Variance Risk Premia. (2004). Wu, Liuren ; Carr, Peter.
    In: Finance.
    RePEc:wpa:wuwpfi:0409015.

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  47. Flight to Quality, Flight to Liquidity, and the Pricing of Risk. (2004). Vayanos, Dimitri.
    In: NBER Working Papers.
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  48. A rational pricing explanation for the failure of CAPM. (2004). Guo, Hui.
    In: Review.
    RePEc:fip:fedlrv:y:2004:i:may:p:23-34:n:v.86no.3.

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  49. Does idiosyncratic risk matter: another look. (2003). Guo, Hui.
    In: Working Papers.
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  50. Does herding behavior reveal skill? An analysis of mutual fund performance. (). Jiang, Hao ; Verardo, Michela .
    In: FMG Discussion Papers.
    RePEc:fmg:fmgdps:dp720.

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