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used to construct a forecast. Second, we discuss random projection regression, where artificial predictors are formed by … randomly weighting the original predictors. Using recent results from random matrix theory, we obtain a tight bound on the mean … squared forecast error for both randomized methods. We identify settings in which one randomized method results in more …
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We investigate the question of whether macroeconomic variables contain information about future stock volatility beyond that contained in past volatility. We show that forecasts of GDP growth from the Federal Reserve's Survey of Professional Forecasters predict volatility in a cross-section of...
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