Swon-Jeong-finance/Robust_risk_premium: v1.0.0 - Code for "Robust Equity Premium Forecasting with Forward-Looking Predictors
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| Natura: | Recurso digital |
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Zenodo
2026
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| _version_ | 1866901725276798976 |
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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 |