Yae, James; Luo, Yang - In: Financial innovation : FIN 9 (2023) 1, pp. 1-28
The out-of-sample R2 is designed to measure forecasting performance without look-ahead bias. However, researchers can … virtual environment that prevents researchers from peeking into the intuition in advance when performing out-of-sample … the variance of its relative performance by 46% while avoiding the out-of-sample R2-hacking problem. Our approach, as a …