A penalized two-pass regression to predict stock returns with time-varying risk premia

DOI10.1016/j.jeconom.2022.12.004arXiv2208.00972OpenAlexW3128299425MaRDI QIDQ6090588

Stéphane Guerrier, Gaetan Bakalli, Olivier Scaillet

Publication date: 17 November 2023

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

Full work available at URL: https://arxiv.org/abs/2208.00972

zbMATH Keywords

factor modelpredictive modelinglarge paneltwo-pass regressionLASSO penalization

Mathematics Subject Classification ID

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

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