Wang, Weiguan and Ruf, Johannes ORCID: 0000-0003-3616-2194
(2022)
A note on spurious model selection.
Quantitative Finance, 22 (10).
1797 - 1800.
ISSN 1469-7688
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Text (A note on spurious model selection)
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Identification Number: 10.1080/14697688.2022.2097120
Abstract
Breaking time structure leads to overestimating model performance, even if the model concerns only a single time period.
Item Type: | Article |
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Official URL: | https://www.tandfonline.com/journals/rquf20 |
Additional Information: | © 2022 The Authors |
Divisions: | Mathematics |
Subjects: | Q Science > QA Mathematics |
Date Deposited: | 24 Jun 2022 10:45 |
Last Modified: | 10 Aug 2024 04:09 |
URI: | http://eprints.lse.ac.uk/id/eprint/115433 |
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