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Showing 1 to 3 of 3 for “"Shrinkage method"”.

  1. Essays on International Finance and Currency Economics

    … risk sentiment and tail risk in the FX market. Shrinkage method of group LASSO also selects macroeconomic fundamentals and financial variables to have consistent impacts on FX market uncertainties. Besides the standard linear analyses, we adopt the neural network method to examine the non-linear …

    washington Repository record for Essays on International Finance and Currency Economics (opens in a new tab)