Machine Learning for Forecasting Excess Stock Returns The Five-Year-View
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Cited by:
- Philip Ndikum, 2020. "Machine Learning Algorithms for Financial Asset Price Forecasting," Papers 2004.01504, arXiv.org.
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More about this item
Keywords
Benchmark; Cross-validation; Prediction; Stock returns; Long-term forecasts; Overlapping returns; Autocorrelation;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2019-08-19 (Big Data)
- NEP-ECM-2019-08-19 (Econometrics)
- NEP-FMK-2019-08-19 (Financial Markets)
- NEP-FOR-2019-08-19 (Forecasting)
Statistics
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