Working Papers:
- Asset Pricing with Panel Tree under Global Criteria
- with Will Cong, Jingyu He, and Xin He. Dec. 2022.
- 2022 INQUIRE Europe Research Grant Award
- Uncommon Factors for Bayesian Asset Clusters
- with Will Cong, Jingyu He, and Junye Li. Sep. 2022.
- Deep Learning in Characteristics-Sorted Factor Models
- with Jingyu He, Nicholas Polson, and Jianeng Xu. Oct. 2022.
- 2nd R&R, Journal of Financial and Quantitative Analysis
- Unigestion Alternative Risk Premia Research Grand Award
- Second Prize, 2019 Crowell Prize
- 2019 INQUIRE Europe Research Grant Award
- Python Example
- Media Coverage: Chicago Booth Review, BNP PARIBAS, PR Newswire
- Regularized GMM for Time-Varying Models with Applications to Asset Pricing
- with Liyuan Cui and Yongmiao Hong. Dec. 2022
- 2nd R&R, International Economic Review
- Corporate Bond Pricing via Benchmark Combination Model
- with Xin He, Junbo Wang, and Chunchi Wu. Dec. 2022.
- Deep Tangency Portfolio
- with Yizhi Song, Liang Jiang, and Junye Li. Dec. 2022.
- Real-Time Macro Information and Bond Return Predictability: A Weighted Group Deep Learning Approach
- with Yinghua Fan, Andras Fulop, and Junye Li. Oct. 2022.
- Predicting Individual Corporate Bond Returns
- with Xin He, Junbo Wang, and Chunchi Wu. Nov. 2022.
Inactive Papers:
FENG Guanhao Gavin 冯冠豪