Machine-Learning-Based Return Predictors and the Spanning Controversy in Macro-Finance
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DOI: 10.1287/mnsc.2022.4386
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Cited by:
- Huang, Dashan & Jiang, Fuwei & Li, Kunpeng & Tong, Guoshi & Zhou, Guofu, 2023. "Are bond returns predictable with real-time macro data?," Journal of Econometrics, Elsevier, vol. 237(2).
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Keywords
machine learning; group lasso; macro-based return predictors; spanning controversy; macro-finance term-structure models;All these keywords.
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