A note on spurious model selection
Wang, W. & Ruf, J.
(2022).
A note on spurious model selection.
Quantitative Finance,
22(10), 1797 - 1800.
https://doi.org/10.1080/14697688.2022.2097120
(2022).
A note on spurious model selection.
Quantitative Finance,
22(10), 1797 - 1800.
https://doi.org/10.1080/14697688.2022.2097120
Breaking time structure leads to overestimating model performance, even if the model concerns only a single time period.
