Predictive regressions under asymmetric loss: Factor augmentation and model selection

Author:

Demetrescu Matei,Hacıoğlu Hoke Sinem

Publisher

Elsevier BV

Subject

Business and International Management

Reference73 articles.

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2. Improved penalization for determining the number of factors in approximate factor models;Alessi;Statistics & Probability Letters,2010

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5. Asymmetric loss functions and the rationality of expected stock returns;Aretz;International Journal of Forecasting,2011

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