[Research Seminar] Finance: “A penalized two-pass regression to predict stock returns with thime-varying risk premia” O. SCAILLET – GSEM

Speaker: Olivier SCAILLET
GSEM – Université de Genève

Date and Location – Thursday January 26th 2023 from 14:00 to 15:30
in Paris campus (P400) and on Zoom

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ABSTRACT

We develop a penalized two-pass regression with time-varying factor loadings.