A penalized two-pass regression to predict stock returns with time-varying risk premia
Gaetan Bakalli, Stéphane Guerrier, Olivier Scaillet
| Year of publication: |
2023
|
|---|---|
| Authors: | Bakalli, Gaetan ; Guerrier, Stéphane ; Scaillet, Olivier |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 237.2023, 2,3, p. 1-27
|
| Subject: | Factor model | Large panel | LASSO penalization | Predictive modeling | Two-pass regression | Prognoseverfahren | Forecasting model | Risikoprämie | Risk premium | Regressionsanalyse | Regression analysis | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2022.12.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014471822