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Keywords: Three-pass regression filter
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Journal Articles
Journal:
Critical Finance Review
Critical Finance Review (2022) 11 (2): 375–381.
Published: 03 May 2022
... for providing code and data. © 2022 Bryan Kelly and Seth Pruitt 2022 Hyuna Park Licensed re-use rights only Return prediction Present value model Partial least squares Three-pass regression filter G10 G12 G14 G35 Throughout we refer to Kelly and Pruitt (2013) as “KP”. We also...
