A penalized two-pass regression to predict stock returns with time-varying risk premia (Q6090588)
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scientific article; zbMATH DE number 7767733
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A penalized two-pass regression to predict stock returns with time-varying risk premia |
scientific article; zbMATH DE number 7767733 |
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A penalized two-pass regression to predict stock returns with time-varying risk premia (English)
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17 November 2023
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two-pass regression
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predictive modeling
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large panel
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factor model
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LASSO penalization
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