The problem of regression shrinkage and selection for multivariate regression is considered. The goal is to consistently identify those variables relevant for regression. This is done not only for predictors but also for responses. To this end, a novel relationship between multivariate...

There are many types of macroeconomics variables that can affect the stock return or stock market index in any countries around the world. For analyzing the effect of those variables, the paper uses industrial production, risk premium, unemployment rate, US currency strength, and interest rate...

Ambiguity surrounds any importance measure in cases in which predictor variables are correlated. However, a new measure is proposed that has attractive properties, such as providing individual contributions that are both non-negative and sum to R2. The new measure is compared with four other...

Two regression methods can be interpreted as based on Gini's Mean Difference (GMD). One, the semi-parametric approach, relies on a weighted average of slopes defined between adjacent observations and the other, the minimization approach, is based on minimization of the GMD of the errors. The...