Stock return predictability: A factor-augmented predictive regression system with shrinkage method
DOI10.1080/07474938.2014.977086zbMath1490.62324OpenAlexW2015436789MaRDI QIDQ5034238
Publication date: 24 February 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://figshare.com/articles/journal_contribution/Stock_Return_Predictability_A_Factor_Augmented_Predictive_Regression_System_with_Shrinkage_Method/1209704
Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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