Sparse Signals in the Cross-Section of Returns
收藏NBER2017-10-01 更新2025-01-04 收录
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https://www.nber.org/papers/w23933
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资源简介：
This paper applies the Least Absolute Shrinkage and Selection Operator (LASSO) to make rolling 1-minute-ahead return forecasts using the entire cross section of lagged returns as candidate predictors. The LASSO increases both out-of-sample fit and forecast-implied Sharpe ratios. And, this out-of
提供机构：
美国国家经济研究局
创建时间：
2017-10-01
