15
2021/09
金融学系学术研讨会
讲座时间:9月16日下午16:30讲座地点:九里校区零号楼0411室讲座题目:Stock market volatility predictability in a data-rich world: New insight讲座摘要:This study develops a prevailing shrinkage method, LASSO with a Markov regime-switching model (MRS-LASSO), to predict US stock market volatility. In total, 17 well-known macroeconomic and financial factors are used in this research. The out-of-samp...