Deep Learning Based Residuals in Nonlinear Factor Models: Precision Matrix Estimation of Returns with Very Low Signal to Noise Ratio

Montreal Econometrics Seminar
joint with the departments of economics of the universities of Montréal, Québec à Montréal, Concordia and McGill and with CIRANO

Leacock 429 (McGill University, 855 Sherbrooke Street West)

Organizers : Marine Carrasco (U. of Montreal) and Victoria Zinde-Walsh (McGill U.)