Asset Pricing via the Conditional Quantile Variational Autoencoder

We propose a new asset pricing model that is applicable to the big panel of return data. The main idea of this model is to learn the conditional distribution of the return, which is approximated by a step distribution function constructed from conditional quantiles of the return. To study conditiona...

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Bibliographic Details

Published in:	Journal of business & economic statistics Vol. 42; no. 2; pp. 681 - 694
Main Authors:	Yang, Xuanling, Zhu, Zhoufan, Li, Dong, Zhu, Ke
Format:	Journal Article
Language:	English
Published:	Alexandria Taylor & Francis 02.04.2024 Taylor & Francis Ltd
Subjects:	Big data Conditional asset pricing model Dynamic loadings Machine learning Neural networks Nonlinear quantile factor model Variational autoencoder
ISSN:	0735-0015, 1537-2707
Online Access:	Get full text
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