Penetrating sporadic return predictability

DOI10.1016/J.JECONOM.2023.105509MaRDI QIDQ6090551zbMATH OpenFDO

Authors Yundong Tu

Publication date 17 November 2023

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2023.105509

zbMATH Keywords

break pointpersistence imbalancepredictive regressionscreeningshrinkage estimation

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cited in

(1)

• LASSO inference for high dimensional predictive regressions

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