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Stock return predictability in the time of COVID-19
We examine predictive ability of a relatively large number of variables from currency, bond and commodity markets for US stock returns during the COVID-19 crisis. As a novel contribution, we estimate robust Lasso predictive regressions with Cauchy errors, consistent with extreme movements and nonlin...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Published by Elsevier Inc.
2021
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7452845/ https://www.ncbi.nlm.nih.gov/pubmed/32874143 http://dx.doi.org/10.1016/j.frl.2020.101705 |