@article{apenalizedtwopassregressiontopredict,
  title = {A penalized two-pass regression to predict stock returns with time-varying risk premia},
  author = {Gaetan Bakalli and Stéphane Guerrier and Olivier Scaillet},
  year = {2022},
  eprint = {2208.00972},
  archivePrefix = {arXiv},
  url = {https://arxiv.org/abs/2208.00972v1},
}