Markus Pelger

1. Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference
   2019/10/18 by Ruoxuan Xiong, Markus Pelger, Xiong, Ruoxuan +1 · 3 citations
   Mathematics · #Advanced Causal Inference Techniques #Econometrics (econ.EM) #FOS: Economics and business
2. A Simple Method for Predicting Covariance Matrices of Financial Returns
   2023/05/31 by Kasper Johansson, Mehmet Giray Ogut, Johansson, Kasper +7 · 2 citations
   Economics, Econometrics and Finance · Decision Sciences · #Financial Markets and Investment Strategies #Stock Market Forecasting Methods #Forecasting Techniques and Applications
3. Target PCA: Transfer Learning Large Dimensional Panel Data
   2023/08/29 by Junting Duan, Duan, Junting, Markus Pelger +3 · 2 citations
   Economics, Econometrics and Finance · Mathematics · #Econometrics (econ.EM) #Economic Policies and Impacts #FOS: Computer and information sciences #FOS: Economics and business #Methodology (stat.ME) #Monetary Policy and Economic Impact #Statistical Methods and Inference
4. Interpretable Sparse Proximate Factors for Large Dimensions
   2018/05/09 by Markus Pelger, Ruoxuan Xiong, Pelger, Markus +1 · 1 citation
   Economics, Econometrics and Finance · Mathematics · #Complex Systems and Time Series Analysis #Financial Risk and Volatility Modeling #Advanced Statistical Methods and Models