Markus Pelger

发表

Change-Point Testing and Estimation for Risk Measures in Time Series

Peter W. Glynn, Lin Fan, Markus Pelger, 2018, 1809.02303.

Large-Dimensional Factor Modeling Based on High-Frequency Observations

Markus Pelger, 2018 .

State-Varying Factor Models of Large Dimensions

Ruoxuan Xiong, Markus Pelger, 2018, Journal of Business & Economic Statistics.

Optimal Stock Option Schemes for Managers

Markus Pelger, An Chen, 2013 .

Factors That Fit the Time Series and Cross-Section of Stock Returns

M. Lettau, Markus Pelger, 2020 .

Deep Learning in Asset Pricing

Markus Pelger, Jason Zhu, Markus Pelger, 2019, Manag. Sci..

CoCos, Bail-In, and Tail Risk

Paul Glasserman, Markus Pelger, P. Glasserman, 2013 .

Factors That Fit the Time Series and Cross-Section of Stock Returns

M. Lettau, Markus Pelger, 2018, The Review of Financial Studies.

Interpretable Sparse Proximate Factors for Large Dimensions

Ruoxuan Xiong, Markus Pelger, 2018, Journal of Business & Economic Statistics.

Interpretable Proximate Factors for Large Dimensions

Ruoxuan Xiong, Markus Pelger, 2018 .

Optimal Payoff Schemes for Managers (Asymmetric Information Case)

Markus Pelger, An Chen, A. Chen, 2012 .

Contingent Capital, Tail Risk, and Debt-Induced Collapse

P. Glasserman, Nan Chen, Markus Pelger, 2015 .

Contingent Convertible Bonds: Pricing, Dilution Costs and Efficient Regulation

Markus Pelger, 2012 .

Stripping the Discount Curve - a Robust Machine Learning Approach

D. Filipović, Markus Pelger, Ye Ye, 2022, SSRN Electronic Journal.

Machine-Learning the Skill of Mutual Fund Managers

Markus Pelger, Ron Kaniel, Stijn Van Nieuwerburgh, 2022, SSRN Electronic Journal.

Deep Learning Statistical Arbitrage

Markus Pelger, Greg Zanotti, Jorge Guijarro-Ordóñez, 2021, SSRN Electronic Journal.

Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference

Ruoxuan Xiong, Markus Pelger, 2019, SSRN Electronic Journal.

Optimal stock option schemes for managers

Markus Pelger, A. Chen, 2013 .

Optimal stock option schemes for managers

Markus Pelger, A. Chen, 2013, Review of Managerial Science.

Inference for Large Panel Data with Many Covariates

Markus Pelger, Jiacheng Zou, 2022, SSRN Electronic Journal.

Inference for Large Panel Data with Many Covariates

Markus Pelger, Jiacheng Zou, 2022, SSRN Electronic Journal.

New Methods for Microbiological Monitoring at Riverbank Filtration Sites

Markus Pelger, T. Grischek, R. Bartak, 2020, Water.

Forest Through the Trees: Building Cross-Sections of Stock Returns

Jason Zhu, Markus Pelger, Svetlana Bryzgalova, 2020, SSRN Electronic Journal.

Essays in Financial Econometrics, Asset Pricing and Corporate Finance

Markus Pelger, 2015 .

Internet Appendix for Deep Learning in Asset Pricing

Jason Zhu, Markus Pelger, Luyang Chen, 2020 .

TextGNN: Improving Text Encoder via Graph Neural Network in Sponsored Search

Huasha Zhao, Ruofei Zhang, Markus Pelger, 2021, WWW.

Understanding Systematic Risk: A High-Frequency Approach

Markus Pelger, 2019 .

Understanding Systematic Risk: A High‐Frequency Approach

Markus Pelger, 2020 .

Betting Against Alpha

Manuel S. Santos, Markus Pelger, Raymond Kan, 2017 .

Inference for Large Panel Data with Many Covariates

Markus Pelger, Jiacheng Zou, 2022, SSRN Electronic Journal.

How Relative Compensation Can Lead to Herding Behavior

Markus Pelger, A. Chen, 2013 .

Estimating Latent Asset-Pricing Factors

Markus Pelger, M. Lettau, Markus Pelger, 2018, Journal of Econometrics.

On the existence of sure profits via flash strategies

Markus Pelger, Eckhard Platen, Claudio Fontana, 2017, Journal of Applied Probability.

Sure profits via flash strategies and the impossibility of predictable jumps

E. Platen, Markus Pelger, Claudio Fontana, 2017 .

A Simple Method for Predicting Covariance Matrices of Financial Returns

Stephen P. Boyd, Mehmet Giray Ogut, Markus Pelger, 2023, Foundations and Trends® in Econometrics.

Target PCA: Transfer Learning Large Dimensional Panel Data

Ruoxuan Xiong, Markus Pelger, Junting Duan, 2023, SSRN Electronic Journal.

Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference

Markus Pelger, Ruoxuan Xiong, 2019, SSRN Electronic Journal.

Sure profits via flash strategies and the impossibility of predictable jumps

E. Platen, Markus Pelger, Claudio Fontana, 2017 .

Bayesian Imputation with Optimal Look-Ahead-Bias and Variance Tradeoff

Viet Anh Nguyen, J. Blanchet, Markus Pelger, 2022, SSRN Electronic Journal.

Time-Series Imputation with Wasserstein Interpolation for Optimal Look-Ahead-Bias and Variance Tradeoff

Viet Anh Nguyen, J. Blanchet, Markus Pelger, 2021, ArXiv.

Missing Financial Data

M. Lettau, Markus Pelger, Svetlana Bryzgalova, 2022, SSRN Electronic Journal.