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Forecasting stock market volatility with a large number of predictors: New evidence from the MS-MIDAS-LASSO model.

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Title: Forecasting stock market volatility with a large number of predictors: New evidence from the MS-MIDAS-LASSO model.
Authors: Li, Xiafei1, Liang, Chao1, liangchaoswjt@163.com, Ma, Feng1
Source: Annals of Operations Research; Sep2025, Vol. 352 Issue 3, p613-652, 40p
Database: Applied Science & Technology Source
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Header DbId: aci
DbLabel: Applied Science & Technology Source
An: 188149854
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PubType: Academic Journal
PubTypeId: academicJournal
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  Data: Forecasting stock market volatility with a large number of predictors: New evidence from the MS-MIDAS-LASSO model.
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  Data: <searchLink fieldCode="AU" term="%22Li%2C+Xiafei%22">Li, Xiafei</searchLink><relatesTo>1</relatesTo><br /><searchLink fieldCode="AU" term="%22Liang%2C+Chao%22">Liang, Chao</searchLink><relatesTo>1</relatesTo>, <i>liangchaoswjt@163.com</i><br /><searchLink fieldCode="AU" term="%22Ma%2C+Feng%22">Ma, Feng</searchLink><relatesTo>1</relatesTo>
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  Data: <searchLink fieldCode="JN" term="%22Annals+of+Operations+Research%22">Annals of Operations Research</searchLink>; Sep2025, Vol. 352 Issue 3, p613-652, 40p
PLink https://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=aci&AN=188149854
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    Identifiers:
      – Type: doi
        Value: 10.1007/s10479-022-04716-1
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      – Code: eng
        Text: English
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        PageCount: 40
        StartPage: 613
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      – TitleFull: Forecasting stock market volatility with a large number of predictors: New evidence from the MS-MIDAS-LASSO model.
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            NameFull: Li, Xiafei
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            NameFull: Liang, Chao
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            NameFull: Ma, Feng
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            – D: 21
              M: 09
              Text: Sep2025
              Type: published
              Y: 2025
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              Value: 352
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            – TitleFull: Annals of Operations Research
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