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Data: Predicting Chinese stock market from three perspectives: A GARCH-MIDAS model with adaptive LASSO method

Mendeley Data2026-04-18 收录

股市波动率预测

金融计量建模

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https://data.mendeley.com/datasets/3dxycyxjc5 数据链接链接失效反馈

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资源简介：

REsearch data used in the analysis

应用场景：

创建时间：

2025-03-03

资产回报预测

金融计量建模

The standard regression approach to modeling return predictability seems too restrictive in one way but too lax in another. A predictive regression models expected returns as an exact linear function

NBER2007-01-01 更新160

Data: Forecasting Chinese stock market volatility: Using a GARCH-MIDAS model with adaptive LASSO method

股市波动率预测

金融计量模型

Dataset used in the empirical analysis.

NIAID Data Ecosystem50

Simpler Better Market Betas

股票市场贝塔估计

金融计量建模

This paper proposes a robust one-pass estimator that is easy to code: Justified by the market-model itself and using a prior that market-betas should not be less than 2 and more than +4, the market-mo

NBER2019-07-01 更新50

High-Dimensional Time Series Segmentation via Factor-Adjusted Vector Autoregressive Modeling

高维时间序列

金融计量建模

Vector autoregressive (VAR) models are popularly adopted for modeling high-dimensional time series, and their piecewise extensions allow for structural changes in the data. In VAR modeling, the number

Figshare2023-09-25 更新60

Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model

金融计量建模

股票预测

Abstract–In this article, we develop a general framework to analyze state space models with time-varying system matrices, where time variation is driven by the score of the conditional likelihood. We

Figshare2020-06-02 更新50

Data: Predicting Chinese stock market from three perspectives: A GARCH-MIDAS model with adaptive LASSO method

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