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Journalist disagreement

Hillert, Alexander; Jacobs, Heiko; Müller, Sebastian - In: Journal of financial markets 41 (2018), pp. 57-76

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Predictive regressions with time-varying coefficients

Dangl, Thomas; Halling, Michael - In: Journal of financial economics 106 (2012) 1, pp. 157-181

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Essays on empirical asset pricing

Verbeek, Roy - 2017

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A non-parametric test and predictive model for signed path dependence

Dias, Fabio S.; Peters, Gareth - In: Computational economics 56 (2020) 2, pp. 461-498

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Machine learning predictions of international stock returns

Tobek, Ondrej - 2019

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The cross section of country equity returns : a review of empirical literature

Zaremba, Adam - In: Journal of risk and financial management : JRFM 12 (2019) 4/165, pp. 1-26

The last three decades brought mounting evidence regarding the cross-sectional predictability of country equity returns. The studies not only documented country-level counterparts of well-established stock-level anomalies, such as size, value, or momentum, but also demonstrated some unique...

Persistent link: https://www.econbiz.de/10012171448

Adaptive expectations and commodity risk premiums

Bianchi, Daniele - In: Journal of economic dynamics & control 124 (2021), pp. 1-22

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Can a machine learn from behavioral biases? : evidence from stock return predictability of deep learning models

Byun, Suk Joon; Cho, Sangheum; Kim, Da-Hea - In: Journal of behavioral and experimental finance 41 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10014526478

Return predictability via an long short-term memory-based cross-section factor model : evidence from Chinese stock market

Yao, Haixiang; Xia, Shenghao; Liu, Hao - In: Journal of forecasting 43 (2024) 6, pp. 1770-1794

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Persistence of jump-induced tail risk and limits to arbitrage

Chow, K. Victor; John, Kose; Li, Jingrui; Sopranzetti, … - In: Quantitative finance 23 (2023) 4, pp. 705-719

Persistent link: https://www.econbiz.de/10014304321