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On tuning parameter selection in model selection and model averaging: A Monte Carlo study
Xiao, Hui; Sun, Yiguo - In: Journal of Risk and Financial Management 12 (2019) 3, pp. 1-16
to supplement the literature by studying the class of OLS post-selection estimators. Inspired by the shrinkage averaging … estimator (SAE) and the Mallows model averaging (MMA) estimator, we further propose a shrinkage MMA (SMMA) estimator for …
Persistent link: https://www.econbiz.de/10012611180
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Forecasting the returns of cryptocurrency: A model averaging approach
Xiao, Hui; Sun, Yiguo - In: Journal of Risk and Financial Management 13 (2020) 11, pp. 1-15
estimators to explain the cryptocurrencies' returns. We further introduce a novel model averaging approach or the shrinkage …
Persistent link: https://www.econbiz.de/10012611490
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On tuning parameter selection in model selection and model averaging : a Monte Carlo study
Xiao, Hui; Sun, Yiguo - In: Journal of risk and financial management : JRFM 12 (2019) 3/109, pp. 1-16
to supplement the literature by studying the class of OLS post-selection estimators. Inspired by the shrinkage averaging … estimator (SAE) and the Mallows model averaging (MMA) estimator, we further propose a shrinkage MMA (SMMA) estimator for …
Persistent link: https://www.econbiz.de/10012025275
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Forecasting the returns of cryptocurrency : a model averaging approach
Xiao, Hui; Sun, Yiguo - In: Journal of risk and financial management : JRFM 13 (2020) 11/278, pp. 1-15
estimators to explain the cryptocurrencies´ returns. We further introduce a novel model averaging approach or the shrinkage …
Persistent link: https://www.econbiz.de/10012388749