Stolbov, Michail I.; Shchepeleva, Maria - In: The Journal of finance and data science : JFDS 9 (2023), pp. 1-18
this end, we apply a battery of state-of-the-art variable selection techniques from machine learning, comprising Bayesian … model averaging (BMA), least absolute shrinkage and selection operator (LASSO), variable selection using random forests …