Multi-Factor Model
The piece introduces a new neural network-based asset pricing model that includes time-varying volatility dynamics and offers improved predictive accuracy and risk-adjusted returns.
Featured in No. 51 on 28 May 2024 · 4 days after release
- Released
- 24 May 2024
- First featured
- No. 51 · 28 May 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 8
- Identifier
- SSRN 4840857
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).