The Shape of Sovereign Credit Risk
Macro fundamentals predict sovereign CDS spreads across countries but not across maturities, and the gap is informative about functional form rather than about the fundamentals themselves.
Out-of-Sample
Academic research on statistical learning, with an eye on what works in practice.
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Uncertainty as a Trading Principle
A Bayesian neural network gives every portfolio weight a credible interval, and the interval says when not to trade.
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It looks like Bayesian uncertainty. In finance, that resemblance is the trap.
The Shrinkage Hidden Inside Model Averaging
Why Bayesian model averaging is just another way to pull coefficients toward zero — and why that matters for prediction.
The Noise Tax in Economic Forecasting
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