Stock return predictability: A factor-augmented predictive regression system with shrinkage method (Q5034238)

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scientific article; zbMATH DE number 7481014
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Stock return predictability: A factor-augmented predictive regression system with shrinkage method
scientific article; zbMATH DE number 7481014

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    Stock return predictability: A factor-augmented predictive regression system with shrinkage method (English)
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    24 February 2022
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    common factor
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    high-dimensional predictors
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    model selection
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    quantiles
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    regularization
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