Targeting Predictors Via Partial Distance Correlation With Applications to Financial Forecasting

Keyphrases

• Screening Method 100%
• Financial Forecasting 100%
• Partial Hamming Correlation 100%
• Multivariate Model 50%
• Simulation Study 50%
• Time-varying Data 50%
• Market Returns 50%
• Time Series Data 50%
• Univariate Model 50%
• Moment Conditions 50%
• US Market 50%
• Time Series Dataset 50%
• VAR Model 50%
• Nonlinear VAR 50%
• Sure Screening Property 50%
• Variable Screening 50%
• Nonlinear Autoregressive Model 50%
• NARX Model 50%
• High-dimensional Time Series 50%
• Model-free Screening 50%

Mathematics

• Covariate 100%
• Autoregressive Model 100%
• Time Series Data 100%
• Simulation Study 100%
• Moment Condition 100%
• Dependent Data 100%
• Dimensional Time 100%

Economics, Econometrics and Finance

• Time Series 100%
• Financial Forecasting 100%
• Finance 33%