The economic value of variable selection methods: Evidence from volatility forecasting

Published: 18 May 2026| Version 1 | DOI: 10.17632/kdj3wy4zkd.1
Contributor:
Zhiyuan Pan

Description

Paper title: The economic value of variable selection methods: Evidence from volatility forecasting Authors: Zhiyuan Pan (Institute of Chinese Financial Studies, Southwestern University of Finance and Economics) Yue Zhou (Institute of Chinese Financial Studies, Southwestern University of Finance and Economics) Chuwen Huang (Institute of Chinese Financial Studies, Southwestern University of Finance and Economics) Overview This replication package provides all the cleaned data, code, and instructions required to reproduce all the empirical results in this paper, including the Tables and Figures.

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please follow the README file

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Data Replication, Volatility

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