A Reality Check for Data Snooping
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(only showing first 100 items - show all)- Non-asymptotic tests of model performance
- Nonlinearity, data-snooping, and stock index ETF return predictability
- Statistical tests for multiple forecast comparison
- On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis
- Robust ranking of multivariate GARCH models by problem dimension
- Multiple tests for the performance of different investment strategies
- Multiperiod portfolio investment using stochastic programming with conditional value at risk
- Direct comparison of agent-based models of herding in financial markets
- Linear time-varying regression with copula-DCC-GARCH models for volatility
- Estimating stochastic discount factor models with hidden regimes: applications to commodity pricing
- Asymptotic inference about predictive accuracy using high frequency data
- Measuring network systemic risk contributions: a leave-one-out approach
- Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
- Robust out-of-sample inference
- A consistent test for nonlinear out of sample predictive accuracy.
- Consistency of the stationary bootstrap under weak moment conditions
- A test for the distributional comparison of simulated and historical data
- Bootstrap tests of multiple inequality restrictions on variance ratios
- Further properties of random orthogonal matrix simulation
- Forecasting price of financial market crash via a new nonlinear potential GARCH model
- Improved central limit theorem and bootstrap approximations in high dimensions
- No pain, no gain: you should always incorporate trading costs for a bias-free evaluation of trading rule overperformance
- The profitability in the FTSE 100 index: a new Markov chain approach
- Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality
- Comonotonicity and low volatility effect
- Forecasting foreign exchange rates with adaptive neural networks using radial-basis functions and particle swarm optimization
- Forecasting long-term interest rates with a general-equilibrium model of the Euro area: what role for liquidity services of bonds?
- Statistical properties of parametric estimators for Markov chain vectors based on copula models
- Managing portfolio diversity within the mean variance theory
- Exploiting ergodicity in forecasts of corporate profitability
- Nonparametric assessment of hedge fund performance
- A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US
- Nested forecast model comparisons: a new approach to testing equal accuracy
- Testing the predictive ability of corridor implied volatility under GARCH models
- Editorial: Causality, prediction, and specification analysis: recent advances and future directions
- A predictability test for a small number of nested models
- Consistent variable selection in large panels when factors are observable
- Forecasting financial and macroeconomic variables using data reduction methods: new empirical evidence
- Testing multiple inequality hypotheses: a smoothed indicator approach
- Dynamic forecasting performance and liquidity evaluation of financial market by econophysics and Bayesian methods
- Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector
- Bootstrap conditional distribution tests in the presence of dynamic misspecification
- Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
- Combining non-cointegration tests
- Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models
- A model selection test for bivariate failure-time data
- Nonlinearity, nonstationarity, and spurious forecasts
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Predictive density and conditional confidence interval accuracy tests
- Validating forecasts of the joint probability density of bond yields: can affine models beat random walk?
- Consistent ranking of volatility models
- A joint econometric model of macroeconomic and term-structure dynamics
- An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
- Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
- Improving robust model selection tests for dynamic models
- Copula-based multivariate GARCH model with uncorrelated dependent errors
- Foreign exchange market prediction with multiple classifiers
- Evaluation of asset pricing models using two-pass cross-sectional regressions
- A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS
- Econometric software development: past, present and future
- FORMALIZED DATA SNOOPING BASED ON GENERALIZED ERROR RATES
- Designing neural networks for modeling biological data: a statistical perspective
- A new test for linear inequality constraints when the variance-covariance matrix depends on the unknown parameters
- Automatic Block-Length Selection for the Dependent Bootstrap
- Asymptotics for out of sample tests of Granger causality
- Model selection tests for nonlinear dynamic models
- Tail-risk protection trading strategies
- Decision trees unearth return sign predictability in the S\&P 500
- In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
- Using information quality for volatility model combinations
- A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
- Inference in nonparametric series estimation with specification searches for the number of series terms
- Evaluation of volatility predictions in a VaR framework
- Trading profitability from learning and adaptation on the Tokyo Stock Exchange
- A time-series bootstrapping simulation method to distinguish sell-side analysts' skill from luck
- Bootstrap sequential tests to determine the order of integration of individual units in a time series panel
- Comparison of misspecified calibrated models: the minimum distance approach
- In-sample tests of predictive ability: a new approach
- On loss functions and ranking forecasting performances of multivariate volatility models
- Chi-squared tests for evaluation and comparison of asset pricing models
- Data-based ranking of realised volatility estimators
- Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
- Estimation and model selection of semiparametric multivariate survival functions under general censorship
- Simulated Method of Moments Estimation for Copula-Based Multivariate Models
- Robust forecast comparison
- Non-linear interactions and exchange rate prediction: empirical evidence using support vector regression
- Bootstrap union tests for unit roots in the presence of nonstationary volatility
- The intra-day performance of market timing strategies and trading systems based on Japanese candlesticks
- The role of significance testing: some data with a message
- AUTOMATED DISCOVERY IN ECONOMETRICS
- Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
- Finite-sample resampling-based combined hypothesis tests, with applications to serial correlation and predictability
- Improving the power of tests of stochastic dominance
- Online learning and forecast combination in unbalanced panels
- Tests of equal forecast accuracy and encompassing for nested models
- Dangers of data mining: The case of calendar effects in stock returns
- Predictive ability with cointegrated variables
- Specification search in nonlinear time-series models using the genetic algorithm.
- Exploiting the errors: a simple approach for improved volatility forecasting
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