Nordre Ringgade 1
DK-8000 Aarhus C, 8000
Denmark
Aarhus University
gradient boosting, high-frequency data, machine learning, neural network, random forest, realized variance, regularization, volatility forecasting
Post-Earnings Announcement Drift, Double Machine Learning, Inference, Lasso, Variable Se- lection
High-frequency data, market return predictability, factor zoo, machine learning, market timing, market frictions, slow-moving capital
