Information spillover and cross-predictability of currency returns: An analysis via Machine Learning
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DOI: 10.1016/j.jbankfin.2024.107313
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More about this item
Keywords
Currency return; Cross-predictability; News; Information spillover; LASSO;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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