JSM2023
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Invited Paper Session

Unlocking Singular Value Decomposition, Dynamic Effects of Disaster-type Shocks, Neural Network Black-Box in Equity Price Change Models

Thu, Aug 10, 10:30 AM
Zhengjun ZhangOrganizerZifeng ZhaoChair
No Additional Sponsor co: No Additional Sponsorco: Business and Economic Statistics Section

3 Presentations

Singular Value Decomposition (SVD) of Financial Returns
10:35 AM - 11:00 AM
Per Mykland (The University of Chicago)
Structural Deep Learning in Conditional Asset Pricing
11:00 AM - 11:25 AM
Andreas Neuhierl (Washington University in Saint Louis)
Time Series Estimation of the Dynamic Effects of Disaster-Type Shocks
11:25 AM - 11:50 AM
Richard Davis (Columbia University)

Discussant

Lan Zhang (University of Illinois at Chicago)
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