Autoencoder asset pricing models (Q2658795): Difference between revisions

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+Eigenvalue Ratio Test for the Number of Factors
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+Using principal component analysis to estimate a high dimensional factor model with high-frequency data
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+Improved penalization for determining the number of factors in approximate factor models
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+Inferential Theory for Factor Models of Large Dimensions
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+Determining the Number of Factors in Approximate Factor Models
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+Auto-association by multilayer perceptrons and singular value decomposition
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+Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
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+Efficient Semiparametric Estimation of the Fama-French Model and Extensions
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+Common risk factors in the returns on stocks and bonds
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+Projected principal component analysis in factor models
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+Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
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+Q5270493
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+Determining the Number of Factors in the General Dynamic Factor Model
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+Reducing the Dimensionality of Data with Neural Networks
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+A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets
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+The three-pass regression filter: a new approach to forecasting using many predictors
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+Estimation of random coefficients logit demand models with interactive fixed effects
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