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Markus Pelger

Personal Details

First Name:Markus
Middle Name:
Last Name:Pelger
Suffix:
RePEc Short-ID:ppe959
[This author has chosen not to make the email address public]
https://mpelger.people.stanford.edu/

Affiliation

Department of Management Science and Engineering
Stanford University

Stanford, California (United States)
https://msande.stanford.edu/
RePEc:edi:eestaus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Damir Filipović & Markus Pelger & Ye Ye, 2022. "Stripping the Discount Curve - a Robust Machine Learning Approach," Swiss Finance Institute Research Paper Series 22-24, Swiss Finance Institute.
  2. Jose Blanchet & Fernando Hernandez & Viet Anh Nguyen & Markus Pelger & Xuhui Zhang, 2022. "Bayesian Imputation with Optimal Look-Ahead-Bias and Variance Tradeoff," Papers 2202.00871, arXiv.org, revised Apr 2023.
  3. Ron Kaniel & Zihan Lin & Markus Pelger & Stijn Van Nieuwerburgh, 2022. "Machine-Learning the Skill of Mutual Fund Managers," NBER Working Papers 29723, National Bureau of Economic Research, Inc.
  4. Damir Filipović & Markus Pelger & Ye Ye, 2022. "Shrinking the Term Structure," Swiss Finance Institute Research Paper Series 22-61, Swiss Finance Institute.
  5. Jorge Guijarro-Ordonez & Markus Pelger & Greg Zanotti, 2021. "Deep Learning Statistical Arbitrage," Papers 2106.04028, arXiv.org, revised Oct 2022.
  6. Luyang Chen & Markus Pelger & Jason Zhu, 2019. "Deep Learning in Asset Pricing," Papers 1904.00745, arXiv.org, revised Aug 2021.
  7. Ruoxuan Xiong & Markus Pelger, 2019. "Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference," Papers 1910.08273, arXiv.org, revised Jan 2022.
  8. Markus Pelger & Ruoxuan Xiong, 2018. "State-Varying Factor Models of Large Dimensions," Papers 1807.02248, arXiv.org, revised Oct 2020.
  9. Lin Fan & Peter W. Glynn & Markus Pelger, 2018. "Change-Point Testing for Risk Measures in Time Series," Papers 1809.02303, arXiv.org, revised Jul 2023.
  10. Lettau, Martin & Pelger, Markus, 2018. "Estimating Latent Asset-Pricing Factors," CEPR Discussion Papers 12926, C.E.P.R. Discussion Papers.
  11. Lettau, Martin & Pelger, Markus, 2018. "Factors that Fit the Time Series and Cross-Section of Stock Returns," CEPR Discussion Papers 13049, C.E.P.R. Discussion Papers.
  12. Claudio Fontana & Markus Pelger & Eckhard Platen, 2017. "On the existence of sure profits via flash strategies," Papers 1708.03099, arXiv.org, revised Jul 2019.
  13. Claudio Fontana & Markus Pelger & Eckhard Platen, 2017. "Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps," Research Paper Series 385, Quantitative Finance Research Centre, University of Technology, Sydney.
  14. Nan Chen & Paul Glasserman & Behzad Nouri & Markus Pelger, 2013. "CoCos, Bail-In, and Tail Risk," Working Papers 13-04, Office of Financial Research, US Department of the Treasury.

Articles

  1. Markus Pelger & Ruoxuan Xiong, 2022. "State-Varying Factor Models of Large Dimensions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1315-1333, June.
  2. Markus Pelger & Ruoxuan Xiong, 2022. "Interpretable Sparse Proximate Factors for Large Dimensions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(4), pages 1642-1664, October.
  3. Markus Pelger, 2021. "Discussion of “Text Selection” by Bryan Kelly, Asaf Manela, and Alan Moreira," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 880-882, October.
  4. Lettau, Martin & Pelger, Markus, 2020. "Estimating latent asset-pricing factors," Journal of Econometrics, Elsevier, vol. 218(1), pages 1-31.
  5. Markus Pelger, 2020. "Understanding Systematic Risk: A High‐Frequency Approach," Journal of Finance, American Finance Association, vol. 75(4), pages 2179-2220, August.
  6. Martin Lettau & Markus Pelger & Stijn Van Nieuwerburgh, 2020. "Factors That Fit the Time Series and Cross-Section of Stock Returns," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2274-2325.
  7. Pelger, Markus, 2019. "Large-dimensional factor modeling based on high-frequency observations," Journal of Econometrics, Elsevier, vol. 208(1), pages 23-42.
  8. Nan Chen & Paul Glasserman & Behzad Nouri & Markus Pelger, 2017. "Contingent Capital, Tail Risk, and Debt-Induced Collapse," The Review of Financial Studies, Society for Financial Studies, vol. 30(11), pages 3921-3969.
    RePEc:taf:apfiec:v:23:y:2013:i:8:p:709-727 is not listed on IDEAS

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Journal Pages, Weighted by Recursive Impact Factor
  2. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 15 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (7) 2018-05-28 2018-07-23 2018-07-30 2018-10-01 2019-10-28 2022-03-07 2022-04-04. Author is listed
  2. NEP-ORE: Operations Research (6) 2018-05-28 2018-06-25 2018-07-30 2018-08-27 2021-06-21 2022-04-04. Author is listed
  3. NEP-FMK: Financial Markets (5) 2018-05-28 2018-07-30 2018-08-27 2019-04-08 2022-03-07. Author is listed
  4. NEP-BIG: Big Data (4) 2019-04-08 2021-06-21 2022-03-07 2022-04-04
  5. NEP-CMP: Computational Economics (4) 2019-04-08 2021-06-21 2022-03-07 2022-04-04
  6. NEP-ETS: Econometric Time Series (3) 2018-07-23 2018-07-30 2018-10-01
  7. NEP-CWA: Central and Western Asia (2) 2022-03-07 2022-04-04
  8. NEP-MST: Market Microstructure (2) 2017-08-13 2017-10-29
  9. NEP-IFN: International Finance (1) 2022-09-05
  10. NEP-MAC: Macroeconomics (1) 2022-04-04
  11. NEP-PAY: Payment Systems and Financial Technology (1) 2019-04-08
  12. NEP-RMG: Risk Management (1) 2018-10-01

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