Introducing shrinkage in heavy-tailed state space models to predict equity excess returns

Fuente: arXiv

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Bibliographic Details
Main Authors:	Huber, Florian, Kastner, Gregor, Pfarrhofer, Michael
Format:	Preprint
Published:	2018
Subjects:	Econometrics Statistical Finance Applications
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/1805.12217