The three-pass regression filter: A new approach to forecasting using many predictors

2015/03/23 by Bryan Kelly, Seth Pruitt · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Financial Risk and Volatility Modeling #Forecasting Techniques and Applications

paper · doi:10.1016/j.jeconom.2015.02.011

openalex publication_date 2015/03/23 · crossref created 2015/03/23 · crossref issued 2015/06/01 · crossref published 2015/06/01 · crossref published-print 2015/06/01 · crossref deposited 2024/06/07 · openalex created_date 2025/10/10 · crossref indexed 2026/08/03 · openalex updated_date 2026/08/03

Citations

• The Generalized Dynamic-Factor Model: Identification and Estimation
• Permanent and Temporary Components of Stock Prices
• The Behavior of Stock-Market Prices
• Risk, Return, and Equilibrium: Empirical Tests
• Presidential Address: Discount Rates
• An Intertemporal Capital Asset Pricing Model
• Toward a Theory of Market Value of Risky Assets
• Comparing Predictive Accuracy

Cited by

• Partial least squares regression [wikipedia]