Tatsuki Masuda, Kei Nakagawa. Predicting Financial Asset Returns with Factor and Lead-Lag Relationships: Ridge Regression with Lagged Penalty. In 14th IIAI International Congress on Advanced Applied Informatics, IIAI-AAI 2023, Koriyama, Japan, July 8-13, 2023. pages 534-539, IEEE, 2023. [doi]
Abstract is missing.