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Machine Learning in Finance and Macroeconomics

Paper Session

Friday, Jan. 7, 2022 10:00 AM - 12:00 PM (EST)

Hosted By: International Association of Applied Econometrics
  • Chair: Eric Ghysels, University of North Carolina-Chapel Hill

Asset Pricing with Missing Data

Svetlana Bryzgalova
,
London School of Economics and Political Science
Markus Pelger
,
Stanford University
Sven Lerner
,
Stanford University
Martin Lettau
,
University of California-Berkeley

Abstract

TBA

On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Interest Rates

Francis X. Diebold
,
University of Pennsylvania
Minchul Shin
,
Federal Reserve Bank of Philadelphia
Boyuan Zhang
,
University of Pennsylvania

Abstract

TBA

(Re-)Imag(in)ing Price Trends

Jingwen Jiang
,
University of Chicago
Bryan Kelly
,
Yale University
Dacheng Xiu
,
University of Chicago

Abstract

TBA

Machine Learning and Knightian Uncertainty: An Application to Portfolio Choice

Eric Ghysels
,
University of North Carolina-Chapel Hill
Steve Raymond
,
University of North Carolina-Chapel Hill
Yan Qian
,
University of North Carolina-Chapel Hill

Abstract

TBA
JEL Classifications
  • C0 - General
  • G0 - General