A Reality Check for Data Snooping

Applications of statistics to economics (62P20) Nonparametric statistical resampling methods (62G09) Inference from stochastic processes and prediction (62M20)

Cited In (only showing first 100 items - show all)

Testing forecast accuracy of foreign exchange rates: Predictions from feed forward and various recurrent neural network architectures
Predictive ability tests with possibly overlapping models
Exploiting the errors: a simple approach for improved volatility forecasting
Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects
The intra-day performance of market timing strategies and trading systems based on Japanese candlesticks
Combining non-cointegration tests
Measuring network systemic risk contributions: a leave-one-out approach
Foreign exchange market prediction with multiple classifiers
THE FAIR REWARD PROBLEM: THE ILLUSION OF SUCCESS AND HOW TO SOLVE IT
Decision trees unearth return sign predictability in the S&P 500
Using information quality for volatility model combinations
Dangers of data mining: The case of calendar effects in stock returns
Cryptocurrency volatility forecasting: what can we learn from the first wave of the COVID-19 outbreak?
A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests
Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality
A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US
Time-varying forecast combination for high-dimensional data
On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis
Editorial: Causality, prediction, and specification analysis: recent advances and future directions
Supervised portfolios
Online learning and forecast combination in unbalanced panels
Evaluation of volatility predictions in a VaR framework
Comonotonicity and low volatility effect
INFERENCE IN NONPARAMETRIC SERIES ESTIMATION WITH SPECIFICATION SEARCHES FOR THE NUMBER OF SERIES TERMS
Semi-varying coefficient panel data model with technical indicators predicts stock returns in financial market
Trading profitability from learning and adaptation on the Tokyo Stock Exchange
Exploiting ergodicity in forecasts of corporate profitability
Inference in coarsened time series via generalized method of moments
Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk
Unlucky Number 13? Manipulating Evidence Subject to Snooping
Risk Measure Inference
Multi-Horizon Forecast Comparison
Direct comparison of agent-based models of herding in financial markets
BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY
Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter
Asymptotic Inference for Performance Fees and the Predictability of Asset Returns
Testing Nowcast Monotonicity with Estimated Factors
Dynamic forecasting performance and liquidity evaluation of financial market by econophysics and Bayesian methods
Managing portfolio diversity within the mean variance theory
A test for the distributional comparison of simulated and historical data
Bootstrap tests of multiple inequality restrictions on variance ratios
No pain, no gain: you should always incorporate trading costs for a bias-free evaluation of trading rule overperformance
Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
Linear time-varying regression with copula-DCC-GARCH models for volatility
Non-asymptotic tests of model performance
Statistical arbitrage: factor investing approach
Non-Linear Interactions and Exchange Rate Prediction: Empirical Evidence Using Support Vector Regression
Tail-risk protection trading strategies
Estimating stochastic discount factor models with hidden regimes: applications to commodity pricing
The profitability in the FTSE 100 index: a new Markov chain approach
Forecasting price of financial market crash via a new nonlinear potential GARCH model
Forecasting long-term interest rates with a general-equilibrium model of the Euro area: what role for liquidity services of bonds?
Reprint of: Out-of-sample tests for conditional quantile coverage: an application to growth-at-risk
Nonparametric assessment of hedge fund performance
Finite-sample Resampling-based Combined Hypothesis Tests, with Applications to Serial Correlation and Predictability
Asymptotics of K-fold cross validation
Evaluation of strategy portfolios
On the size control of the hybrid test for superior predictive ability
Bootstrap Sequential Tests to Determine the Order of Integration of Individual Units in A Time Series Panel
Testing the predictive ability of corridor implied volatility under GARCH models
Consistent variable selection in large panels when factors are observable
Improved central limit theorem and bootstrap approximations in high dimensions
Econometric software development: past, present and future
Multiple tests for the performance of different investment strategies
Estimation and model selection of semiparametric multivariate survival functions under general censorship
Designing neural networks for modeling biological data: a statistical perspective
Model selection tests for nonlinear dynamic models
Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
Neural networks in financial trading
Technical trading and cryptocurrencies
In-sample tests of predictive ability: a new approach
Consistency of the stationary bootstrap under weak moment conditions
Nonlinearity, data-snooping, and stock index ETF return predictability
Bootstrap conditional distribution tests in the presence of dynamic misspecification
Robust out-of-sample inference
Tests of equal forecast accuracy and encompassing for nested models
Consistent ranking of volatility models
Forecasting financial and macroeconomic variables using data reduction methods: new empirical evidence
A new test for linear inequality constraints when the variance-covariance matrix depends on the unknown parameters
Asymptotic inference about predictive accuracy using high frequency data
Testing for Granger causality in large mixed-frequency VARs
Specification search in nonlinear time-series models using the genetic algorithm.
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?
Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
ROBUST FORECAST COMPARISON
Improving the Power of Tests of Stochastic Dominance
AUTOMATED DISCOVERY IN ECONOMETRICS
Copula-based multivariate GARCH model with uncorrelated dependent errors
A consistent test for nonlinear out of sample predictive accuracy.
Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector
Comparison of value-at-risk models using the MCS approach
Likelihood-based scoring rules for comparing density forecasts in tails
Robust trading rule selection and forecasting accuracy
Mutual fund performance: false discoveries, bias, and power
Evaluation of Asset Pricing Models Using Two-Pass Cross-Sectional Regressions
Simulated Method of Moments Estimation for Copula-Based Multivariate Models
A model selection test for bivariate failure-time data
Robust ranking of multivariate GARCH models by problem dimension

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