Cross-sectional stock return analysis using support vector regression

We adopt ε-Support Vector Regression, a nonlinear regression method, to analyse the relationship between stock return and explanatory factors. Computational results show ε-SVR outperforms significantly the Ordinary Least Squares linear regression with a much higher <italic>R</italic> -super-2 and a lower standard error.

MoreLess

Year of publication:	2010
Authors:	Liu, Jie ; Hu, Zaixia ; Tan, Shaohua
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 17.2010, 1, p. 71-74
Publisher:	Taylor & Francis Journals

More details

Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008582793