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A Deep Structural Model for Empirical Asset Pricing

https://doi.org/10.2139/ssrn.4602537
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/j.jeconom.2020.07.009openalex-snapshot
Autoencoder Asset Pricing Models
inferredcites →https://doi.org/10.1016/j.jfineco.2007.10.006openalex-snapshot
Structural models of credit risk are useful: Evidence from hedge ratios on corporate bonds☆
inferredcites →https://doi.org/10.1016/j.jfineco.2014.10.010openalex-snapshot
A five-factor asset pricing model
inferredcites →https://doi.org/10.1016/j.jfineco.2019.05.001openalex-snapshot
Characteristics are covariances: A unified model of risk and return
inferredcites →https://doi.org/10.1016/j.jfineco.2019.06.008openalex-snapshot
Shrinking the cross-section
inferredcites →https://doi.org/10.1016/j.jfineco.2023.06.007openalex-snapshot
Debt dynamics and credit risk
inferredcites →https://doi.org/10.1093/jjfinec/nbaa007openalex-snapshot
The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation
inferredcites →https://doi.org/10.1093/qje/qjw034openalex-snapshot
What is the Expected Return on the Market?*
inferredcites →https://doi.org/10.1093/rfs/hhaa009openalex-snapshot
Empirical Asset Pricing via Machine Learning
inferredcites →https://doi.org/10.1093/rfs/hhm014openalex-snapshot
A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
inferredcites →https://doi.org/10.1093/rfs/hhn044openalex-snapshot
Forecasting Default with the Merton Distance to Default Model
inferredcites →https://doi.org/10.1093/rfs/hhv059openalex-snapshot
Editor's Choice … and the Cross-Section of Expected Returns
inferredcites →https://doi.org/10.1093/rfs/hhy032openalex-snapshot
The Myth of the Credit Spread Puzzle
inferredcites →https://doi.org/10.1093/rfs/hhy131openalex-snapshot
Replicating Anomalies
inferredcites →https://doi.org/10.1093/rfs/hhz123openalex-snapshot
Dissecting Characteristics Nonparametrically
inferredcites →https://doi.org/10.1111/j.1540-6261.1974.tb03058.xopenalex-snapshot
ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*
inferredcites →https://doi.org/10.1111/j.1540-6261.1976.tb01891.xopenalex-snapshot
VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS
inferredcites →https://doi.org/10.1111/j.1540-6261.1994.tb02452.xopenalex-snapshot
Corporate Debt Value, Bond Covenants, and Optimal Capital Structure
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03808.xopenalex-snapshot
On Persistence in Mutual Fund Performance
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00650.xopenalex-snapshot
Default Risk in Equity Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2011.01671.xopenalex-snapshot
Presidential Address: Discount Rates
inferredcites →https://doi.org/10.1111/jofi.12758openalex-snapshot
Leverage and the Cross‐Section of Equity Returns
inferredcites →https://doi.org/10.1111/jofi.12765openalex-snapshot
Time‐Varying Asset Volatility and the Credit Spread Puzzle
inferredcites →https://doi.org/10.1111/jofi.12883openalex-snapshot
Taming the Factor Zoo: A Test of New Factors
inferredcites →https://doi.org/10.1111/jofi.13477openalex-snapshot
Forest through the Trees: Building Cross‐Sections of Stock Returns
inferredcites →https://doi.org/10.1146/annurev-financial-101521-104735openalex-snapshot
Factor Models, Machine Learning, and Asset Pricing
inferredcites →https://doi.org/10.1287/mnsc.2023.4695openalex-snapshot
Deep Learning in Asset Pricing
inferredcites →https://doi.org/10.2139/ssrn.2820700openalex-snapshot
Dissecting Characteristics Nonparametrically
inferredcites →https://doi.org/10.2139/ssrn.3624052openalex-snapshot
Can Machines 'Learn' Finance?
inferredcites →https://doi.org/10.2139/ssrn.3774514openalex-snapshot
Is There a Replication Crisis in Finance?
inferredcites →https://doi.org/10.2307/2978814openalex-snapshot
On the Pricing of Corporate Debt: The Risk Structure of Interest Rates
inferredcites →https://doi.org/10.48550/arxiv.1412.6980openalex-snapshot
Adam: A Method for Stochastic Optimization
inferredcites →https://doi.org/10.48550/arxiv.1502.03167openalex-snapshot
Batch Normalization: Accelerating Deep Network Training by Reducing Internal Covariate Shift

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inferred← citeshttps://doi.org/10.1002/fut.70125openalex-snapshot
Neural Jumps for Option Pricing
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