Markus Pelger
Title
Cited by
Cited by
Year
Deep learning in asset pricing
L Chen, M Pelger, J Zhu
Available at SSRN 3350138, 2020
1142020
Factors that fit the time series and cross-section of stock returns
M Lettau, M Pelger
The Review of Financial Studies 33 (5), 2274-2325, 2020
762020
Large-dimensional factor modeling based on high-frequency observations
M Pelger
Journal of Econometrics 208 (1), 23-42, 2019
692019
Contingent capital, tail risk, and debt-induced collapse
N Chen, P Glasserman, B Nouri, M Pelger
The Review of Financial Studies 30 (11), 3921-3969, 2017
662017
Estimating latent asset-pricing factors
M Lettau, M Pelger
Journal of Econometrics 218 (1), 1-31, 2020
612020
CoCos, bail-in, and tail risk
N Chen, P Glasserman, B Nouri, M Pelger
532013
Understanding Systematic Risk: A High‐Frequency Approach
M Pelger
The Journal of Finance 75 (4), 2179-2220, 2020
342020
Forest through the trees: Building cross-sections of stock returns
S Bryzgalova, M Pelger, J Zhu
Available at SSRN 3493458, 2020
332020
State-varying factor models of large dimensions
M Pelger, R Xiong
Journal of Business & Economic Statistics, 1-50, 2021
142021
Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference
R Xiong, M Pelger
Available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3465357, 2019
12*2019
Contingent convertible bonds: Pricing, dilution costs and efficient regulation
M Pelger
Social Science Electronic Publishing, 2012
12*2012
Interpretable sparse proximate factors for large dimensions
M Pelger, R Xiong
Journal of Business & Economic Statistics, 1-23, 2021
92021
Optimal stock option schemes for managers
A Chen, M Pelger
Review of Managerial Science 8 (4), 437-464, 2014
6*2014
New performance-vested stock option schemes
A Chen, M Pelger, K Sandmann
Applied Financial Economics 23 (8), 709-727, 2013
62013
Interpretable proximate factors for large dimensions
M Pelger, R Xiong
arXiv preprint arXiv:1805.03373, 2018
52018
Sure profits via flash strategies and the impossibility of predictable jumps
C Fontana, M Pelger, E Platen
Quantitative Finance Research Centre, University of Technology, Sydney …, 2017
4*2017
Textgnn: Improving text encoder via graph neural network in sponsored search
J Zhu, Y Cui, Y Liu, H Sun, X Li, M Pelger, T Yang, L Zhang, R Zhang, ...
Proceedings of the Web Conference 2021, 2848-2857, 2021
32021
Change-point testing and estimation for risk measures in time series
L Fan, PW Glynn, M Pelger
arXiv preprint arXiv:1809.02303, 2018
22018
Estimating Latent Asset-Pricing Factors
M Pelger, M Lettau, IDRO Seminar
forthcoming Journal of, 2018
22018
Internet Appendix for Deep Learning in Asset Pricing
L Chen, M Pelger, J Zhu
Available at SSRN 3600206, 2020
12020
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Articles 1–20