missing data

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GitHub – Missing Data Handling Code for Machine Learning Portfolios

Creators: Andrew Y. Chen, Jack McCoy
Publication Date: 2024
Creators: Andrew Y. Chen, Jack McCoy

This GitHub repository contains the code implementation for the study “Missing Values Handling for Machine Learning Portfolios” (Chen & McCoy, 2024, Journal of Financial Economics). It provides replication code for the various missing data handling methods evaluated in the paper, enabling researchers to apply and compare these techniques in their own machine learning portfolio research.

Replication Data: Missing Values Handling for Machine Learning Portfolios

Creators: Andrew Chen , Jack McCoy
Publication Date: 20 February 2024
Creators: Andrew Chen , Jack McCoy

This dataset, hosted on Mendeley Data, contains the replication data for the study “Missing Values Handling for Machine Learning Portfolios” (Chen & McCoy, 2024, Journal of Financial Economics). It includes stock return and firm characteristic data used to examine how different methods for handling missing values in financial datasets affect the performance of machine learning-based portfolio construction strategies, providing guidance on best practices for missing data imputation in empirical asset pricing research.

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