A note on spurious model selection

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

Text (A note on spurious model selection) - Published Version Available under License Creative Commons Attribution Non-commercial No Derivatives. Download (893kB)

• Author
• Scopus publication

Abstract

Breaking time structure leads to overestimating model performance, even if the model concerns only a single time period.

Item Type:	Article
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:	11 Feb 2025 21:24
URI:	http://eprints.lse.ac.uk/id/eprint/115433

Actions (login required)

View Item