Introducing shrinkage in heavy-tailed state space models to predict equity excess returns

to related objects

Location: Deutsche Nationalbibliothek Frankfurt am Main

Extent: Online-Ressource, 1 online resource.

Language: Englisch

Bibliographic citation: Introducing shrinkage in heavy-tailed state space models to predict equity excess returns ; day:29 ; month:5 ; year:2023 ; pages:1-19
Empirical economics ; (29.5.2023), 1-19

Classification: Wirtschaft

Creator: Huber, Florian
Kastner, Gregor
Pfarrhofer, Michael

Contributor: SpringerLink (Online service)

DOI: 10.1007/s00181-023-02437-3

URN: urn:nbn:de:101:1-2023091109543839662011

Rights: Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.

Last update: 14.08.2025, 10:52 AM CEST

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Huber, Florian
Kastner, Gregor
Pfarrhofer, Michael
SpringerLink (Online service)

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[Uferschnepfe; Black-tailed Godwit]

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[Uferschnepfe; Black-tailed Godwit]

Illustration

The Long-Tailed Manakin.

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The-Tailed Tropic-Bird.

Localized/Shrinkage Kriging Predictors

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Dromicia Gliriformis. Thick-tailed Dromicia

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Belideus Flaviventer. Long-tailed Belideus

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Introducing shrinkage in heavy-tailed state space models to predict equity excess returns

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Other Objects (12)

Excess Volatility in European Equity Style Indices - New Evidence

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[Uferschnepfe; Black-tailed Godwit]

[Uferschnepfe; Black-tailed Godwit]

The Long-Tailed Manakin.

The-Tailed Tropic-Bird.

Localized/Shrinkage Kriging Predictors

Phascogale Penicillata. Brush-tailed Phascogale

Dromicia Gliriformis. Thick-tailed Dromicia

Belideus Flaviventer. Long-tailed Belideus

Excess Volatility in European Equity Style Indices - New Evidence

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[Uferschnepfe; Black-tailed Godwit]

[Uferschnepfe; Black-tailed Godwit]

The Long-Tailed Manakin.

The-Tailed Tropic-Bird.

Localized/Shrinkage Kriging Predictors

Phascogale Penicillata. Brush-tailed Phascogale

Dromicia Gliriformis. Thick-tailed Dromicia

Belideus Flaviventer. Long-tailed Belideus

Excess Volatility in European Equity Style Indices - New Evidence

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On Reverse Shrinkage Effects and Shrinkage Overshoot

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[Uferschnepfe; Black-tailed Godwit]

[Uferschnepfe; Black-tailed Godwit]

The Long-Tailed Manakin.

The-Tailed Tropic-Bird.

Localized/Shrinkage Kriging Predictors

Phascogale Penicillata. Brush-tailed Phascogale

Dromicia Gliriformis. Thick-tailed Dromicia

Belideus Flaviventer. Long-tailed Belideus

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