Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors?-Reference-Cited by-同舟云学术

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Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors?

Published:2019-12 Issue: Volume:54 Page:97-117
ISSN:0927-5398
Container-title:Journal of Empirical Finance
language:en
Short-container-title:Journal of Empirical Finance

Author:

Zhang Yaojie,Ma Feng,Wang Yudong

Funder

Natural Science Foundation of China

Humanities and Social Science Fund of the Ministry of Education

Fundamental research funds for the central universities

National Science Foundation of China

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference70 articles.

1. Optimal inattention to the stock market with information costs and transactions costs;Abel;Econometrica,2013

2. Forecasting the price of oil;Alquist,2013

3. Equity premium prediction: Are economic and technical indicators unstable?;Baetje;Int. J. Forecast.,2016

4. Investor sentiment and the cross-section of stock returns;Baker;J. Finance,2006

5. Do high-frequency financial data help forecast oil prices? The MIDAS touch at work;Baumeister;Int. J. Forecast.,2015

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