Swon-Jeong-finance/Robust_risk_premium: v1.0.0 - Code for "Robust Equity Premium Forecasting with Forward-Looking Predictors

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Autor principal: Swon-Jeong-finance
Formato: Recurso digital
Publicado: Zenodo 2026
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author Swon-Jeong-finance
author_facet Swon-Jeong-finance
contents <p>Replication code for the two-stage equity risk premium forecasting framework described in: Huh, Jeon, and Jeong, "Robust Equity Premium Forecasting with Forward-Looking Predictors"</p> <p>Stage 1: ARIMAX-GARCH predictor-level forecasting Stage 2: Random Forest with SHAP screening and PCA/PLS dimension reduction</p>
format Recurso digital
id zenodo_https___doi_org_10_5281_zenodo_19342370
institution Zenodo
language
publishDate 2026
publisher Zenodo
record_format zenodo
spellingShingle Swon-Jeong-finance/Robust_risk_premium: v1.0.0 - Code for "Robust Equity Premium Forecasting with Forward-Looking Predictors
Swon-Jeong-finance
<p>Replication code for the two-stage equity risk premium forecasting framework described in: Huh, Jeon, and Jeong, "Robust Equity Premium Forecasting with Forward-Looking Predictors"</p> <p>Stage 1: ARIMAX-GARCH predictor-level forecasting Stage 2: Random Forest with SHAP screening and PCA/PLS dimension reduction</p>
title Swon-Jeong-finance/Robust_risk_premium: v1.0.0 - Code for "Robust Equity Premium Forecasting with Forward-Looking Predictors
url https://doi.org/10.5281/zenodo.19342370