Forecasting crude oil prices with a large set of predictors : Can LASSO select powerful predictors?
Yaojie Zhang, Feng Ma, Yudong Wang
| Year of publication: |
2019
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|---|---|
| Authors: | Zhang, Yaojie ; Ma, Feng ; Wang, Yudong |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 54.2019, p. 97-117
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| Subject: | Elastic net | Lasso | Oil price predictability | Out-of-sample forecasts | Variable selection | Ölpreis | Oil price | Prognoseverfahren | Forecasting model | Prognose | Forecast | Wirtschaftsprognose | Economic forecast | Regressionsanalyse | Regression analysis |