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Showing 1 to 1 of 1 for “"high-dimensional factors"”.
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Conditional Asset Pricing Models via Machine Learnings for the Chinese Stock Market
… risk exposures, distributional asymmetry, and high-dimensional information. The analysis addresses three interrelated challenges in empirical asset pricing: state-dependent factor loadings, cross-sectional dependence driven by latent common shocks, and nonlinear relationships between returns …