A note on spurious model selection

Wang, Weiguan; and Ruf, JohannesORCID logo A note on spurious model selection Quantitative Finance, 22 (10). 1797 - 1800. ISSN 1469-7688
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Breaking time structure leads to overestimating model performance, even if the model concerns only a single time period.
Item Type Article
Departments Mathematics
DOI 10.1080/14697688.2022.2097120
Date Deposited 24 Jun 2022 10:45
URI https://researchonline.lse.ac.uk/id/eprint/115433

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