Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Choice of Sample Split in Out-of-Sample Forecast Evaluation

16 references·16 citing·39 second hopsampled

FromToDepth

this work references cited by second hop· second hop is a sample of the most-cited connections

References

2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
1988Dividend yields and expected stock returns3,574 cited
2002Forecasting Using Principal Components From a Large Number of Predictors2,990 cited
2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
1988Stock Prices, Earnings, and Expected Dividends2,457 cited
1986Predicting returns in the stock and bond markets1,715 cited
2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy1,684 cited
1996Asymptotic Inference about Predictive Ability1,415 cited
2005A Test for Superior Predictive Ability1,227 cited
2001Tests of equal forecast accuracy and encompassing for nested models1,178 cited
1995Predictability of Stock Returns: Robustness and Economic Significance1,034 cited
2006Efficient tests of stock return predictability☆992 cited
2005A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series808 cited
2005In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

756 cited

2006Asymptotics for out of sample tests of Granger causality697 cited

Cited by

2020Deep belief network for gold price forecasting84 cited
2012Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests84 cited
2018Forecasting Methods in Finance69 cited
2023More attention and better volatility forecast accuracy: How does war attention affect stock volatility predictability?66 cited
2016International volatility risk and Chinese stock return predictability55 cited
2018Factor Based Commodity Investing54 cited
2012Money–Income Granger-Causality in Quantiles52 cited
2016Chinese stock market volatility and the role of U.S. economic variables52 cited
2016Shipping investor sentiment and international stock return predictability51 cited
2016Equity premium prediction: Are economic and technical indicators unstable?49 cited
2012Predictability of the Simple Technical Trading Rules: An Out-of-Sample Test48 cited
2013Do DSGE Models Forecast More Accurately Out-Of-Sample than VAR Models?47 cited
2014The real-life performance of market timing with moving average and time-series momentum rules45 cited
2013Forecasting a long memory process subject to structural breaks33 cited
2015Market Timing with Moving Averages: Anatomy and Performance of Trading Rules31 cited
2020Cash conversion cycle and aggregate stock returns28 cited