PanelGP: A Probabilistic Factor Model for Asset-Return Panels
arXiv:2611.04040v1 Announce Type: cross Abstract: We develop PanelGP, a conditional factor model for large panels of stock returns in which firm characteristics determine the factor loadings and economic conditions determine the expected factors. Both relations are estimated nonparametrically with…
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- 2026-11-04 05:00 · arXiv stat.ML
PanelGP: A Probabilistic Factor Model for Asset-Return Panels