Asset Pricing via the Conditional Quantile Variational Autoencoder

DOI10.1080/07350015.2023.2223683MaRDI QIDQ6626236zbMATH OpenFDO

Authors Zhoufan Zhu, Dong Li, Ke Zhu

Publication date 28 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2023.2223683

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

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• Regression Quantiles
• The Model Confidence Set
• Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets

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