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Sparse Modeling for Cross-Industry Returns Predictability
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Outgoing claims: the papers this work cites, builds on, or argues with.
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Minnesota-Type Adaptive Hierarchical Priors for Large Bayesian VARs
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The economic value of predicting bond risk premia
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A skeptical appraisal of asset pricing tests☆
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A five-factor asset pricing model
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Decoupling Shrinkage and Selection in Bayesian Linear Models: A Posterior Summary Perspective
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Adaptive Shrinkage in Bayesian Vector Autoregressive Models
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Inducing Sparsity and Shrinkage in Time-Varying Parameter Models
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The Variation of Economic Risk Premiums
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Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?
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Shrink Globally, Act Locally: Sparse Bayesian Regularization and Prediction*
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The horseshoe estimator for sparse signals
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Stock Return Predictability and Asset Pricing Models
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A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
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Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
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Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy
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Conditioning Variables and the Cross Section of Stock Returns
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Industry Concentration and Average Stock Returns
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Explaining Variational Approximations
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Conditioning Variables and the Cross-Section of Stock Returns
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Industry Interdependencies and Cross-Industry Return Predictability
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Fast and Accurate Variational Inference for Large Bayesian VARs with Stochastic Volatility
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Fast and Accurate Variational Inference for Large Bayesian Vars with Stochastic Volatility
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Variational Bayes Inference for Volatility-Managed Portfolios
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Scalable Variational Bayes Inference for Dynamic Variable Selection
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Expectation Propagation for approximate Bayesian inference
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Large Order-Invariant Bayesian VARs with Stochastic Volatility
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inferred← citeshttps://doi.org/10.2139/ssrn.3605451openalex-extracted
Stablecoins and cryptocurrency returns: What is the role of Tether?
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