OpenAlex | High-dimensional predictive regression in the presence of cointegration

High-dimensional predictive regression in the presence of cointegration

Work

Year: 2020

Type: article

Source: Journal of Econometrics

Authors Bonsoo Koo, Heather M. Anderson, Myung Hwan Seo, Wenying Yao

Institutions Monash University, Seoul National University, Deakin University

Cites: 54

Cited by: 21

Related to: 10

FWCI: 2.847

Citation percentile (by year/subfield): 89.43

Topic: Stock Market Forecasting Methods

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Sustainable Development Goal Reduced inequalities

Open Access status: closed

Funders Seoul National University, Ministry of Education, National Research Foundation of Korea, Australian Research Council