of Seasonal Affective Disorder (SAD) and macroeconomic announcements. Employing the General-to-Specific (Gets …) Autometrics methodology, we identify distinct behavioral responses between retail and institutional investors to SAD, noting a …

autoregressive models. We propose using Lasso-type estimators to reduce the dimensionality to a manageable one and provide strong …

, including principal component analysis, GARCH-family model, and LASSO regression. The results of this paper suggest that the …

Gaussian LASSO model and an IG GLM LASSO model as dimension reduction techniques and we attempted to identify some common … Box-Cox transformation Gaussian LASSO model, a three-phase iterative grid search Box-Cox transformation Gaussian LASSO … model, and both canonical link and optimal link IG GLM LASSO models. The latter two models assume an approximately IG …