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Forecasting the default risk of Chinese listed companies using a gradient-boosted decision tree based on the undersampling technique

Wang, Shanshan; Chi, Guotai; Zhou, Ying; Chen, Li - In: The journal of risk model validation 17 (2023) 4, pp. 97-121

Persistent link: https://www.econbiz.de/10014485969

Forecasting dividend growth : the role of adjusted earnings yield

Yu, Deshui; Huang, Difang; Li, Chen; Li, Luyang - In: Economic modelling 120 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014384127

Volatility forecasting for stock market index based on complex network and hybrid deep learning model

Song, Yuping; Lei, Bolin; Tang, Xiaolong; Li, Chen - In: Journal of forecasting 43 (2024) 3, pp. 544-566

Persistent link: https://www.econbiz.de/10014532346

Local predictability of stock returns and cash flows

Yu, Deshui; Li, Chen - In: Journal of empirical finance 77 (2024), pp. 1-23

Persistent link: https://www.econbiz.de/10014578533

Stock return predictability and cyclical movements in valuation ratios

Yu, Deshui; Huang, Difang; Li, Chen - In: Journal of empirical finance 72 (2023), pp. 36-53

Persistent link: https://www.econbiz.de/10014476797

Sector option correlation premiums and predictable changes in implied volatility

Koticha, Apoorva; Li, Chen; Marks, Joseph M. - In: The journal of derivatives : JOD 30 (2023) 3, pp. 84-115

Persistent link: https://www.econbiz.de/10014231127

Time-Varying Predictability of the Long Horizon Equity Premium Based on Semiparametric Regressions

Yu, Deshui; Li, Chen; Li, Luyang - 2023

This paper proposes a novel semiparametric time-varying model for long-horizon predictive regressions in which the coefficients are allowed to change over time with unspecified functional forms. A linear projection method is employed to deal with the embedded endogeneity issue. We pursue an...

Persistent link: https://www.econbiz.de/10014258471

Time-varying predictability of the long horizon equity premium based on semiparametric regressions

Yu, Deshui; Li, Chen; Li, Luyang - In: Economics letters 224 (2023), pp. 1-6

Persistent link: https://www.econbiz.de/10014307887