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Harvey, Campbell R., Yan Liu, and Alessio Saretto. An Evaluation of Alternative Multiple Testing Methods for Finance Applications. Review of Asset Pricing Studies, 2020, 10 (2): 199-248.
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Gu, Shihao, Bryan Kelly, and Dacheng Xiu. Empirical Asset Pricing via Machine Learning. The Review of Financial Studies, 2020, 33 (5): 2223-2273.
Huang, Dashan, Jiangyuan Li, Liyao Wang, and Guofu Zhou. Time series momentum: Is it there?. Journal of Financial Economics, 2020, 135 (3): 774-794.