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references.bib
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@techreport{NBERw25398,
title = "Empirical Asset Pricing via Machine Learning",
author = "Gu, Shihao and Kelly, Bryan and Xiu, Dacheng",
institution = "National Bureau of Economic Research",
type = "Working Paper",
series = "Working Paper Series",
number = "25398",
year = "2018",
month = "December",
doi = {10.3386/w25398},
URL = "http://www.nber.org/papers/w25398",
}
@book{friedman2001elements,
title={The elements of statistical learning},
author={Friedman, Jerome and Hastie, Trevor and Tibshirani, Robert},
volume={1},
number={10},
year={2001},
publisher={Springer series in statistics New York}
}
@book{james2013introduction,
title={An introduction to statistical learning},
author={James, Gareth and Witten, Daniela and Hastie, Trevor and Tibshirani, Robert},
volume={112},
year={2013},
publisher={Springer}
}
@article{goyalwelch2008,
ISSN = {08939454, 14657368},
URL = {http://www.jstor.org/stable/40056859},
abstract = {Our article comprehensively reexamines the performance of variables that have been suggested by the academic literature to be good predictors of the equity premium. We find that by and large, these models have predicted poorly both in-sample (IS) and out-of-sample (OOS) for 30 years now; these models seem unstable, as diagnosed by their out-of-sample predictions and other statistics; and these models would not have helped an investor with access only to available information to profitably time the market.},
author = {Ivo Welch and Amit Goyal},
journal = {The Review of Financial Studies},
number = {4},
pages = {1455--1508},
publisher = {[Oxford University Press, Society for Financial Studies]},
title = {A Comprehensive Look at the Empirical Performance of Equity Premium Prediction},
volume = {21},
year = {2008}
}
@Article{glmnet2010,
title = {Regularization Paths for Generalized Linear Models via Coordinate Descent},
author = {Jerome Friedman and Trevor Hastie and Robert Tibshirani},
journal = {Journal of Statistical Software},
year = {2010},
volume = {33},
number = {1},
pages = {1--22},
url = {http://www.jstatsoft.org/v33/i01/},
}
@Manual{zou2017,
title = {gglasso: Group Lasso Penalized Learning Using a Unified BMD Algorithm},
author = {Yi Yang and Hui Zou},
year = {2017},
note = {R package version 1.4},
url = {https://CRAN.R-project.org/package=gglasso},
}
@Manual{pls2019,
title = {pls: Partial Least Squares and Principal Component Regression},
author = {Bjørn-Helge Mevik and Ron Wehrens and Kristian Hovde Liland},
year = {2019},
note = {R package version 2.7-1},
url = {https://CRAN.R-project.org/package=pls},
}
@misc{chollet2015keras,
title={Keras},
author={Chollet, Fran\c{c}ois and others},
year={2015},
publisher={GitHub},
howpublished={\url{https://github.com/fchollet/keras}},
}
@Article{ranger2017,
title = {{ranger}: A Fast Implementation of Random Forests for High Dimensional Data in {C++} and {R}},
author = {Marvin N. Wright and Andreas Ziegler},
journal = {Journal of Statistical Software},
year = {2017},
volume = {77},
number = {1},
pages = {1--17},
doi = {10.18637/jss.v077.i01},
}
@Manual{gbm2019,
title = {gbm: Generalized Boosted Regression Models},
author = {Brandon Greenwell and Bradley Boehmke and Jay Cunningham and GBM Developers},
year = {2019},
note = {R package version 2.1.5},
url = {https://CRAN.R-project.org/package=gbm},
}
@article{kelly2018understanding,
title={Understanding Momentum and Reversal},
author={Kelly, Bryan T and Moskowitz, Tobias J and Pruitt, Seth},
journal={Available at SSRN 3269897},
year={2018}
}
@article{ferson1999conditioning,
title={Conditioning variables and the cross section of stock returns},
author={Ferson, Wayne E and Harvey, Campbell R},
journal={The Journal of Finance},
volume={54},
number={4},
pages={1325--1360},
year={1999},
publisher={Wiley Online Library}
}
@article{diebold2002comparing,
title={Comparing predictive accuracy},
author={Diebold, Francis X and Mariano, Robert S},
journal={Journal of Business \& economic statistics},
volume={20},
number={1},
pages={134--144},
year={2002},
publisher={Taylor \& Francis}
}
@book{masters1993practical,
title={Practical neural network recipes in C++},
author={Masters, Timothy},
year={1993},
publisher={Morgan Kaufmann}
}
@article{zou2005regularization,
title={Regularization and variable selection via the elastic net},
author={Zou, Hui and Hastie, Trevor},
journal={Journal of the royal statistical society: series B (statistical methodology)},
volume={67},
number={2},
pages={301--320},
year={2005},
publisher={Wiley Online Library}
}
@article{cybenko1989approximations,
title={Approximations by superpositions of a sigmoidal function},
author={Cybenko, George},
journal={Mathematics of Control, Signals and Systems},
volume={2},
pages={183--192},
year={1989}
}
@book{hamilton1995time,
title={Time series analysis},
author={Hamilton, James D},
journal={Economic Theory. II, Princeton University Press, USA},
pages={625--630},
year={1995}
}
@article{neweywest1987,
ISSN = {00129682, 14680262},
URL = {http://www.jstor.org/stable/1913610},
author = {Whitney K. Newey and Kenneth D. West},
journal = {Econometrica},
number = {3},
pages = {703--708},
publisher = {[Wiley, Econometric Society]},
title = {A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix},
volume = {55},
year = {1987}
}
@techreport{kozak2017shrinking,
title={Shrinking the cross section},
author={Kozak, Serhiy and Nagel, Stefan and Santosh, Shrihari},
year={2017},
institution={National Bureau of Economic Research}
}
@article{stocks1995bills,
title={Bills and Inflation 1995 Yearbook},
author={Stocks, Bonds},
journal={Ibbotson Associates, Chicago},
year={1995}
}
@article{efron2004least,
title={Least angle regression},
author={Efron, Bradley and Hastie, Trevor and Johnstone, Iain and Tibshirani, Robert and others},
journal={The Annals of statistics},
volume={32},
number={2},
pages={407--499},
year={2004},
publisher={Institute of Mathematical Statistics}
}