A Reality Check for Data Snooping
From MaRDI portal
Publication:4530982
Recommendations
Cited in
(only showing first 100 items - show all)- Asymptotics for out of sample tests of Granger causality
- Model selection tests for nonlinear dynamic models
- A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS
- Automatic Block-Length Selection for the Dependent Bootstrap
- Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
- Mutual fund performance: false discoveries, bias, and power
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
- Testing multiple inequality hypotheses: a smoothed indicator approach
- Bootstrap conditional distribution tests in the presence of dynamic misspecification
- Simulated Method of Moments Estimation for Copula-Based Multivariate Models
- Robust trading rule selection and forecasting accuracy
- Nonlinearity, nonstationarity, and spurious forecasts
- A joint econometric model of macroeconomic and term-structure dynamics
- Validating forecasts of the joint probability density of bond yields: can affine models beat random walk?
- Neural networks in financial trading
- Technical trading and cryptocurrencies
- Statistical properties of parametric estimators for Markov chain vectors based on copula models
- Volatility forecasting accuracy for Bitcoin
- Robust out-of-sample inference
- A model selection test for bivariate failure-time data
- Estimation and model selection of semiparametric multivariate survival functions under general censorship
- Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
- A new test for linear inequality constraints when the variance-covariance matrix depends on the unknown parameters
- Consistent ranking of volatility models
- Econometric software development: past, present and future
- Statistical tests for multiple forecast comparison
- A consistent test for nonlinear out of sample predictive accuracy.
- Predictive ability with cointegrated variables
- Designing neural networks for modeling biological data: a statistical perspective
- In-sample tests of predictive ability: a new approach
- Asymptotic inference about predictive accuracy using high frequency data
- Comparison of value-at-risk models using the MCS approach
- Data-based ranking of realised volatility estimators
- Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
- Likelihood-based scoring rules for comparing density forecasts in tails
- FORMALIZED DATA SNOOPING BASED ON GENERALIZED ERROR RATES
- Improving the power of tests of stochastic dominance
- Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models
- AUTOMATED DISCOVERY IN ECONOMETRICS
- Forecasting foreign exchange rates with adaptive neural networks using radial-basis functions and particle swarm optimization
- Forecasting financial and macroeconomic variables using data reduction methods: new empirical evidence
- Stock and bond return predictability: the discrimination power of model selection criteria
- Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators
- Nonlinearity, data-snooping, and stock index ETF return predictability
- Bootstrap analysis of mutual fund performance
- Copula-based multivariate GARCH model with uncorrelated dependent errors
- In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
- An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
- A predictability test for a small number of nested models
- Testing for Granger causality in large mixed-frequency VARs
- Nested forecast model comparisons: a new approach to testing equal accuracy
- Further properties of random orthogonal matrix simulation
- Tests of equal forecast accuracy and encompassing for nested models
- Comparison of misspecified calibrated models: the minimum distance approach
- Chi-squared tests for evaluation and comparison of asset pricing models
- On loss functions and ranking forecasting performances of multivariate volatility models
- Consistency of the stationary bootstrap under weak moment conditions
- Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector
- Predictive density and conditional confidence interval accuracy tests
- Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Robust forecast comparison
- Specification search in nonlinear time-series models using the genetic algorithm.
- Robust ranking of multivariate GARCH models by problem dimension
- Improving robust model selection tests for dynamic models
- Multiple tests for the performance of different investment strategies
- Evaluation of asset pricing models using two-pass cross-sectional regressions
- Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter
- Cryptocurrency volatility forecasting: what can we learn from the first wave of the COVID-19 outbreak?
- Asymptotic Inference for Performance Fees and the Predictability of Asset Returns
- Testing Nowcast Monotonicity with Estimated Factors
- A test for the distributional comparison of simulated and historical data
- Bootstrap tests of multiple inequality restrictions on variance ratios
- Testing forecast accuracy of foreign exchange rates: Predictions from feed forward and various recurrent neural network architectures
- A time-series bootstrapping simulation method to distinguish sell-side analysts' skill from luck
- Using information quality for volatility model combinations
- Improved central limit theorem and bootstrap approximations in high dimensions
- Non-asymptotic tests of model performance
- Measuring network systemic risk contributions: a leave-one-out approach
- No pain, no gain: you should always incorporate trading costs for a bias-free evaluation of trading rule overperformance
- Predictive ability tests with possibly overlapping models
- Bootstrap sequential tests to determine the order of integration of individual units in a time series panel
- The role of significance testing: some data with a message
- Unlucky Number 13? Manipulating Evidence Subject to Snooping
- A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests
- Dynamic forecasting performance and liquidity evaluation of financial market by econophysics and Bayesian methods
- Dangers of data mining: The case of calendar effects in stock returns
- Foreign exchange market prediction with multiple classifiers
- Evaluation of volatility predictions in a VaR framework
- Nonparametric assessment of hedge fund performance
- Forecasting long-term interest rates with a general-equilibrium model of the Euro area: what role for liquidity services of bonds?
- The profitability in the FTSE 100 index: a new Markov chain approach
- Inference in coarsened time series via generalized method of moments
- Statistical arbitrage: factor investing approach
- THE FAIR REWARD PROBLEM: THE ILLUSION OF SUCCESS AND HOW TO SOLVE IT
- Tail-risk protection trading strategies
- Managing portfolio diversity within the mean variance theory
- Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality
- Risk Measure Inference
- Supervised portfolios
This page was built for publication: A Reality Check for Data Snooping
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4530982)
