High-dimensional predictive regression in the presence of cointegration (Q2224889)
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scientific article; zbMATH DE number 7306112
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| English | High-dimensional predictive regression in the presence of cointegration |
scientific article; zbMATH DE number 7306112 |
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High-dimensional predictive regression in the presence of cointegration (English)
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4 February 2021
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cointegration
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high-dimensional predictive regression
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Lasso
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return predictability
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0.7399565577507019
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0.7182877063751221
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0.7127600312232971
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0.7089288234710693
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0.701607882976532
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