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

Mehmet Caner

Montreal Econometrics Seminar
joint with the departments of economics of the universities of MontréalQuébec à MontréalConcordia 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.)

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