Introduces cap-axis integral diagnostic revealing zero-alpha violations on cap-rank subspaces in factor models using 1967-2024 CRSP data.
I., Kelly, B., & Pedersen, L
2 Pith papers cite this work. Polarity classification is still indexing.
2
Pith papers citing it
years
2026 2verdicts
UNVERDICTED 2representative citing papers
ReSGA, a large autoencoder, outperforms prior methods on joint VaR-ES forecasting for US equities and converts the edge into economic gains via a size-enhanced momentum strategy, with gains attributed to data complexity.
citing papers explorer
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ReSGA: A Large Tail Risk Model for Learning Value-at-Risk and Expected Shortfall
ReSGA, a large autoencoder, outperforms prior methods on joint VaR-ES forecasting for US equities and converts the edge into economic gains via a size-enhanced momentum strategy, with gains attributed to data complexity.