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Showing 1 to 1 of 1 for “"dynamic orthogonal components"”.
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Essays in Empirical Asset Pricing and International Finance
Chapter 1 introduces the Supervised Dynamic Orthogonal Components (sDOC) method as a novel framework for forecasting the equity risk premium out-of-sample. sDOC advances traditional linear dimension-reduction techniques - most notably Principal Component Analysis (PCA) - by integrating machine …