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Can out-of-sample forecast comparisons help prevent overfitting?
Clark, Todd E. - 2000
Persistent link: https://www.econbiz.de/10001554626
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The deflated Sharpe ratio : correcting for selection bias, backtest overfitting, and non-normality
Bailey, David H.; López de Prado, Marcos M. - In: The journal of portfolio management : a publication of … 40 (2014), pp. 94-107
Persistent link: https://www.econbiz.de/10011433463
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Uniform inference in predictive regression models
Chen, Willa W.; Deo, Rohit S.; Yi, Yanping - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 4, pp. 525-533
Persistent link: https://www.econbiz.de/10010337853
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Statistical analysis of Texas State Highways' cost indices
Mahpour, Amirreza - In: International journal of transport economics : IJTE 47 (2020) 1, pp. 15-36
Persistent link: https://www.econbiz.de/10012241037
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Empirical simultaneous confidence regions for path-forecasts
Jordà, Òscar; Knüppel, Malte; Marcellino, Massimiliano - 2010
Persistent link: https://www.econbiz.de/10003976664
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Empirical simultaneous confidence regions for path-forecasts
Jordà, Òscar; Knüppel, Malte; Marcellino, Massimiliano - 2010
Persistent link: https://www.econbiz.de/10003960556
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Empirical simultaneous confidence regions for path-forecasts
Jordà, Òscar; Knüppel, Malte; Marcellino, Massimiliano - 2010
-parametric estimation is impractical given commonly available predictive sample sizes. Instead, this paper derives the approximate … inflation. -- Path forecast ; forecast uncertainty ; simultaneous confidence region ; Scheffé’s S-method ; Mahalanobis distance …
Persistent link: https://www.econbiz.de/10003962215
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The Deflated Sharpe Ratio : Correcting for Selection Bias, Backtest Overfitting and Non-Normality
Bailey, David H. - 2019
.The problem of performance inflation extends beyond backtesting. More generally, researchers and investors tend to report only … performance inflation: Selection bias under multiple testing and non-Normally distributed returns. In doing so, DSR helps separate …
Persistent link: https://www.econbiz.de/10012904833
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Can Out-of-Sample Forecast Comparisons Help Prevent Overfitting?
Clark, Todd E. - 2001
application, modeling quarterly U.S. inflation …
Persistent link: https://www.econbiz.de/10014130093
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Bayesian inference in a stochastic volatility Nelson-Siegel Model
Hautsch, Nikolaus; Yang, Fuyu - 2010
In this paper, we develop and apply Bayesian inference for an extended Nelson-Siegel (1987) term structure model capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in the underlying yield factors. We propose a Markov...
Persistent link: https://www.econbiz.de/10003952795