High-dimensional predictive regression in the presence of cointegration

Koo, Bonsoo, Anderson, Heather M, Seo, Myung Hwan and Yao, Wenying 2020, High-dimensional predictive regression in the presence of cointegration, Journal of Econometrics, pp. 1-22, doi: 10.1016/j.jeconom.2020.03.011.

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Title High-dimensional predictive regression in the presence of cointegration
Author(s) Koo, Bonsoo
Anderson, Heather M
Seo, Myung Hwan
Yao, WenyingORCID iD for Yao, Wenying orcid.org/0000-0001-6368-0160
Journal name Journal of Econometrics
Start page 1
End page 22
Total pages 22
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2020
ISSN 0304-4076
1872-6895
Keyword(s) Cointegration
High-dimensional predictive regression
LASSO
Return predictability
Language eng
DOI 10.1016/j.jeconom.2020.03.011
Indigenous content off
Field of Research 1403 Econometrics
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Persistent URL http://hdl.handle.net/10536/DRO/DU:30136009

Document type: Journal Article
Collections: Faculty of Business and Law
Department of Economics
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