Stock Return Forecasting: A Supervised PCA With Selecting and Scaling
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DOI: 10.1002/for.70050
Abstract: This paper proposes a sparse scaled principal component analysis (PCA) to forecast stock returns. The sparse scaled PCA is a modification to the common PCA by first selecting the important predictors and then scaling the… read more here.
Keywords: sparse scaled; supervised pca; scaled pca; stock return ... See more keywords