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Data and Code

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Data and Code for Working Papers:

  • Shrinking the Term Structure (with D. Filipovic and Y. Ye)
    Discount bond returns and term structure factors:
  • Stripping the Discount Curve—a Robust Machine Learning Approach (with D. Filipovic and Y. Ye)
    Yield of US Treasury zero coupon bonds:
  • Deep Learning Statistical Arbitrage (with J. Guijarro-Ordonez and G. Zanotti)
  • Forest Through the Trees: Building Cross-Sections of Stock Returns (with S. Bryzgalova and J. Zhu)

Data and Code for Published Papers: