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Markus Pelger · Study
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Author
Markus Pelger
15 works
· latest 2025
· 5 institutions
cluster: provisional
ORCID 0000-0001-7111-3588
Works
15 shown
Deep Learning Statistical Arbitrage
Management Science
·
2025
·
3 authors
·
Open access
36
citations
Forest through the Trees: Building Cross‐Sections of Stock Returns
The Journal of Finance
·
2025
·
3 authors
·
Open access
174
citations
Missing Financial Data
Review of Financial Studies
·
2024
·
4 authors
·
Open access
77
citations
Machine-learning the skill of mutual fund managers
Journal of Financial Economics
·
2023
·
4 authors
108
citations
Deep Learning in Asset Pricing
Management Science
·
2023
·
3 authors
498
citations
Understanding Systematic Risk: A High‐Frequency Approach
The Journal of Finance
·
2020
·
1 author
·
Open access
115
citations
Factors That Fit the Time Series and Cross-Section of Stock Returns
Review of Financial Studies
·
2020
·
2 authors
338
citations
Estimating latent asset-pricing factors
Journal of Econometrics
·
2020
·
2 authors
181
citations
Deep Learning in Asset Pricing
SSRN Electronic Journal
·
2019
·
3 authors
·
preprint
·
Open access
172
citations
Factors that Fit the Time Series and Cross-Section of Stock Returns
National Bureau of Economic Research
·
2018
·
2 authors
·
report
·
Open access
38
citations
Factors That Fit the Time Series and Cross-Section of Stock Returns
SSRN Electronic Journal
·
2018
·
2 authors
·
preprint
·
Open access
138
citations
State-Varying Factor Models of Large Dimensions
Journal of Business and Economic Statistics
·
2018
·
2 authors
·
Open access
72
citations
Contingent Capital, Tail Risk, and Debt-Induced Collapse
Review of Financial Studies
·
2017
·
4 authors
51
citations
Large-Dimensional Factor Modeling Based on High-Frequency Observations
Journal of Econometrics
·
2015
·
1 author
·
Open access
132
citations
CoCos, Bail-In, and Tail Risk
SSRN Electronic Journal
·
2013
·
4 authors
·
preprint
·
Open access
34
citations