Jiantao Huang

London School of Economics & Political Science (LSE) - Department of Finance

Houghton St, Holborn

London, WC2A 2AE

Great Britain

SCHOLARLY PAPERS

4

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2,092

SSRN CITATIONS

10

CROSSREF CITATIONS

2

Scholarly Papers (4)

1.

Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models

Number of pages: 84 Posted: 04 Dec 2019 Last Revised: 22 Sep 2021
London Business School - Department of Finance, London School of Economics & Political Science (LSE) - Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 1,846 (11,448)
Citation 9

Abstract:

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Cross-Sectional Asset Pricing, Factor Models, Model Evaluation, Multiple Testing, Data Mining, P-Hacking, Bayesian Methods, shrinkage, SDF.

2.

Frequency Dependent Risks in the Factor Zoo

Number of pages: 70 Posted: 25 Oct 2021 Last Revised: 20 Nov 2021
Jiantao Huang
London School of Economics & Political Science (LSE) - Department of Finance
Downloads 108 (325,733)

Abstract:

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Asset Pricing, Factor Models, Fourier transform, PCA.

3.

Online Appendix for Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models

Number of pages: 23 Posted: 04 Aug 2020 Last Revised: 15 Sep 2021
London Business School - Department of Finance, London School of Economics & Political Science (LSE) - Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 82 (378,189)

Abstract:

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Cross-sectional asset pricing, factor models, model evaluation, multiple testing, data mining, p-hacking, Bayesian methods, shrinkage, SDF

4.

Model Uncertainty in the Cross Section

Number of pages: 46 Posted: 14 Sep 2021 Last Revised: 29 Oct 2021
Jiantao Huang and Ran Shi
London School of Economics & Political Science (LSE) - Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 56 (462,339)

Abstract:

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Model Uncertainty, Linear Stochastic Discount Factor, Bayesian Inference