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Bryan Kelly
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Empirical asset pricing via machine learning
S Gu, B Kelly, D Xiu
The Review of Financial Studies 33 (5), 2223–2273, 2020
9352020
Text as data
M Gentzkow, B Kelly, M Taddy
Journal of Economic Literature 57 (3), 535-74, 2019
7632019
Tail risk and asset prices
B Kelly, H Jiang
The Review of Financial Studies 27 (10), 2841-2871, 2014
6692014
Testing asymmetric-information asset pricing models
B Kelly, A Ljungqvist
The Review of Financial Studies 25 (5), 1366-1413, 2012
599*2012
The price of political uncertainty: Theory and evidence from the option market
B Kelly, Ľ Pástor, P Veronesi
The Journal of Finance 71 (5), 2417-2480, 2016
5862016
Intermediary asset pricing: New evidence from many asset classes
Z He, B Kelly, A Manela
Journal of Financial Economics 126 (1), 1-35, 2017
5842017
Shaping liquidity: On the causal effects of voluntary disclosure
K Balakrishnan, MB Billings, B Kelly, A Ljungqvist
the Journal of Finance 69 (5), 2237-2278, 2014
5772014
Dynamic equicorrelation
R Engle, B Kelly
Journal of Business & Economic Statistics 30 (2), 212-228, 2012
5122012
Systemic risk and the macroeconomy: An empirical evaluation
S Giglio, B Kelly, S Pruitt
Journal of Financial Economics 119 (3), 457-471, 2016
4532016
Market expectations in the cross‐section of present values
B Kelly, S Pruitt
The Journal of Finance 68 (5), 1721-1756, 2013
4532013
Hedging climate change news
RF Engle, S Giglio, B Kelly, H Lee, J Stroebel
The Review of Financial Studies 33 (3), 1184-1216, 2020
3632020
Characteristics are covariances: A unified model of risk and return
BT Kelly, S Pruitt, Y Su
Journal of Financial Economics 134 (3), 501-524, 2019
363*2019
The common factor in idiosyncratic volatility: Quantitative asset pricing implications
B Herskovic, B Kelly, H Lustig, S Van Nieuwerburgh
Journal of Financial Economics 119 (2), 249-283, 2016
3442016
The three-pass regression filter: A new approach to forecasting using many predictors
B Kelly, S Pruitt
Journal of Econometrics 186 (2), 294-316, 2015
3022015
Too-systemic-to-fail: What option markets imply about sector-wide government guarantees
B Kelly, H Lustig, S Van Nieuwerburgh
American Economic Review 106 (6), 1278-1319, 2016
2602016
Firm volatility in granular networks
B Herskovic, B Kelly, H Lustig, S Van Nieuwerburgh
Journal of Political Economy 128 (11), 4097-4162, 2020
234*2020
A practical guide to volatility forecasting through calm and storm
CT Brownlees, RF Engle, BT Kelly
Available at SSRN 1502915, 2011
1982011
Autoencoder asset pricing models
S Gu, B Kelly, D Xiu
Journal of Econometrics 222 (1), 429-450, 2021
1812021
Measuring technological innovation over the long run
B Kelly, D Papanikolaou, A Seru, M Taddy
American Economic Review: Insights 3 (3), 303-20, 2021
1552021
Climate finance
S Giglio, B Kelly, J Stroebel
Annual Review of Financial Economics 13, 15-36, 2021
1242021
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Articles 1–20