This paper examines the impact of large-scale alternative data on predicting consumer
delinquency. Using a proprietary double-blinded test from a traditional lender, we find that …

We propose a two-step machine learning algorithm—the Supervised Adaptive Group
LASSO (SAGLasso) method—that is suitable for constructing parsimonious return predictors …

This dissertation contains three essays. The first part studies the continuous-time dynamics
of VIX with stochastic volatility and jumps in VIX and volatility. Built on the general parametric …