Predicting the equity market risk premium: a model selection approach
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Publication:2158352
DOI10.1016/J.ECONLET.2022.110448zbMath1493.91118OpenAlexW4220669782MaRDI QIDQ2158352
Publication date: 26 July 2022
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2022.110448
Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)
Cites Work
- Approximately normal tests for equal predictive accuracy in nested models
- Best subset selection via a modern optimization lens
- Asymptotics for out of sample tests of Granger causality
- Best subset, forward stepwise or Lasso? Analysis and recommendations based on extensive comparisons
- In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
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