Predictive ability tests with possibly overlapping models

DOI10.1016/J.JECONOM.2024.105716MaRDI QIDQ6554207zbMATH OpenFDO

Authors Valentina Corradi, Jack Fosten, Daniel Gutknecht

Publication date 12 June 2024

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2024.105716

zbMATH Keywords

block bootstrapdegeneracyexcess bond returnsout-of-sample evaluationuniform inference

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cited in

(2)

• Bootstrapping out-of-sample predictability tests with real-time data
• Online semi-supervised independent support vector machines

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