{"title":"股票市场中的套期保值和线性预测","authors":"Huang Xiao","doi":"10.1080/07474938.2024.2359475","DOIUrl":null,"url":null,"abstract":"We consider a two-stage estimation method for linear regression. First, it uses the lasso in Tibshirani to screen variables and, second, re-estimates the coefficients using the least-squares boosti...","PeriodicalId":11438,"journal":{"name":"Econometric Reviews","volume":"24 1","pages":""},"PeriodicalIF":0.8000,"publicationDate":"2024-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Lassoed boosting and linear prediction in the equities market\",\"authors\":\"Huang Xiao\",\"doi\":\"10.1080/07474938.2024.2359475\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We consider a two-stage estimation method for linear regression. First, it uses the lasso in Tibshirani to screen variables and, second, re-estimates the coefficients using the least-squares boosti...\",\"PeriodicalId\":11438,\"journal\":{\"name\":\"Econometric Reviews\",\"volume\":\"24 1\",\"pages\":\"\"},\"PeriodicalIF\":0.8000,\"publicationDate\":\"2024-06-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Econometric Reviews\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1080/07474938.2024.2359475\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Reviews","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/07474938.2024.2359475","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
Lassoed boosting and linear prediction in the equities market
We consider a two-stage estimation method for linear regression. First, it uses the lasso in Tibshirani to screen variables and, second, re-estimates the coefficients using the least-squares boosti...
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Econometric Reviews is widely regarded as one of the top 5 core journals in econometrics. It probes the limits of econometric knowledge, featuring regular, state-of-the-art single blind refereed articles and book reviews. ER has been consistently the leader and innovator in its acclaimed retrospective and critical surveys and interchanges on current or developing topics. Special issues of the journal are developed by a world-renowned editorial board. These bring together leading experts from econometrics and beyond. Reviews of books and software are also within the scope of the journal. Its content is expressly intended to reach beyond econometrics and advanced empirical economics, to statistics and other social sciences.
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