Search Results for author: Kemen Goicoechea

Found 1 papers, 1 papers with code

Deep Partial Least Squares for Empirical Asset Pricing

1 code implementation20 Jun 2022 Matthew F. Dixon, Nicholas G. Polson, Kemen Goicoechea

This non-linear factor structure is extracted by using projected least squares to jointly project firm characteristics and asset returns on to a subspace of latent factors and using deep learning to learn the non-linear map from the factor loadings to the asset returns.

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