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]
@inproceedings{MasudaN23,
title = {Predicting Financial Asset Returns with Factor and Lead-Lag Relationships: Ridge Regression with Lagged Penalty},
author = {Tatsuki Masuda and Kei Nakagawa},
year = {2023},
doi = {10.1109/IIAI-AAI59060.2023.00107},
url = {https://doi.org/10.1109/IIAI-AAI59060.2023.00107},
researchr = {https://researchr.org/publication/MasudaN23},
cites = {0},
citedby = {0},
pages = {534-539},
booktitle = {14th IIAI International Congress on Advanced Applied Informatics, IIAI-AAI 2023, Koriyama, Japan, July 8-13, 2023},
publisher = {IEEE},
isbn = {979-8-3503-2422-8},
}