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A note on spurious model selection

Wang, Weiguan and Ruf, Johannes (2022) A note on spurious model selection. Quantitative Finance. ISSN 1469-7688 (In Press)

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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
Additional Information: © 2022 The Author(s).
Divisions: Mathematics
Subjects: Q Science > QA Mathematics
Date Deposited: 24 Jun 2022 10:45
Last Modified: 15 Aug 2022 08:15
URI: http://eprints.lse.ac.uk/id/eprint/115433

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