Discussion paper DP20080 The Uncertainty of Machine Learning Predictions in Asset Pricing Yuan Liao Xinjie Ma Andreas Neuhierl Linda Schilling 25 Mar 2025 Artificial Intelligence Asset Pricing G12 C45 C58
Discussion paper DP19727 Systemic Risk Measures: Taking Stock from 1927 to 2023 Viral Acharya Markus Brunnermeier Diane Pierret 29 Nov 2024 Economic History Asset Pricing Banking and Corporate Finance C58 E32 G01 G12 G17 G20 G32
Discussion paper DP19121 Forecasting International Stock Market Variances Geert Bekaert Nancy Xu Tiange Ye 31 May 2024 Asset Pricing C58 F30 G10 G17
Discussion paper DP18812 Complexity in Factor Pricing Models Antoine Didisheim Barry Ke Bryan Kelly Semyon Malamud 5 Feb 2024 Asset Pricing C3 C58 C61 G11 G12 G14
Discussion paper DP18592 Risks and Risk Premia in the US Treasury Market Junye Li Lucio Sarno Gabriele Zinna 9 Nov 2023 International Macroeconomics and Finance Asset Pricing C58 E43 G12
Discussion paper DP17194 The Virtue of Complexity in Return Prediction Bryan Kelly Semyon Malamud Kangying Zhou 7 Apr 2022 Financial Economics C3 C58 C61 G11 G12 G14
Discussion paper DP15411 Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions Gabriele Fiorentini Enrique Sentana 29 Oct 2020 Financial Economics C32 C46 C51 C58
Discussion paper DP14415 Hypothesis tests with a repeatedly singular information matrix Dante Amengual Xinyue Bei Enrique Sentana 17 Feb 2020 Financial Economics C12 C46 C58 C22 C34
Discussion paper DP14235 Market Efficiency in the Age of Big Data Ian Martin Stefan Nagel 22 Dec 2019 Financial Economics G10 G12 G14 C11 C12 C58
Discussion paper DP13990 The War Next Door and the Reds are Coming: The Spanish Civil War and the Portuguese Stock Market Diogo Leitão Jaime Pereira Joao Pereira Dos Santos José Tavares 12 Sep 2019 Economic History C12 C58 G12 N43 N83
Discussion paper DP13693 The transmission channels of unconventional monetary policy: Evidence from a change in collateral requirements in France Anne-Laure Delatte Pranav Garg Jean Imbs 24 Apr 2019 Financial Economics International Macroeconomics and Finance C55 C58 E44 E52 E58 G21 G28 G30 G32
Discussion paper DP13049 Factors that Fit the Time Series and Cross-Section of Stock Returns Martin Lettau Markus Pelger 14 Jul 2018 Financial Economics C14 C52 C58 G12