Cross-sectional expected returns : new Fama-MacBeth regressions in the era of machine learning
Yufeng Han, Ai He, David E. Rapach, Guofu Zhou
| Year of publication: |
2024
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| Authors: | Han, Yufeng ; He, Ai ; Rapach, David E. ; Zhou, Guofu |
| Published in: |
Review of finance : journal of the European Finance Association. - Oxford : Oxford University Press, ISSN 1875-824X, ZDB-ID 2214390-7. - Vol. 28.2024, 6, p. 1807-1831
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| Subject: | penalized regression | forecast combination | forecast encompassing | characteristic payoff | cross- sectional out-of-sample R2 statistic | Regressionsanalyse | Regression analysis | Prognoseverfahren | Forecasting model | Künstliche Intelligenz | Artificial intelligence | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Prognose | Forecast | Statistischer Test | Statistical test | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/rof/rfae027 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015357602