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Gaetan BAKALLI (GSEM, Switzerland) “A Penalized two Pass Regression to Predict Stock Returns with Time-Varying Risk Premia”

The Financial Econometrics Seminar:  Time: 10:30 pm Date: 16th of December 2021 Room : 3001 Gaetan BAKALLI (GSEM, Switzerland) "A Penalized two Pass Regression to Predict Stock Returns with Time-Varying Risk Premia" Abstract :We develop a penalized two-pass regression with time-varying factor loadings. The penalization in the first pass enforces sparsity for the time-variation drivers […]