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“In an asset management context, where new data emerge over time, a sample-splitting scheme that periodically includes more recent data must be applied (see, e.g., West 2006, for an overview).”
From Empirical asset pricing via machine learning: evidence from the European stock market (2021) · cites this paper as West 2006
Citations
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Cited by
Sorted by citations
Empirical asset pricing via machine learning: evidence from the European stock market
Drobetz, W., & Otto, T. (2021) · Journal of Asset Management · doi:10.1057/s41260-021-00237-x · Cited by 61
Empirical Asset Pricing via Machine Learning
Gu, S., Kelly, B. T., & Xiu, D. (2018) · The Review of Financial Studies · doi:10.2139/ssrn.3159577 · Cited by 52
Metadata
- Authors
- West, K. D.
- Affiliations
- University of Wisconsin System (US)
- Corresponding author
- West, Kenneth D.
- Venue
- Handbook of Economic Forecasting
- Publisher
- Elsevier
- Published
- 2006
- Pages
- 99-134
- ISSN
- 1574-0706 (ISSN-L)
- OpenAlex
- W1576527543
- Cited by
- 182
- References
- 2
- Citations by year
- 2026: 7 · 2025: 5 · 2024: 8 · 2023: 6 · 2022: 8 · 2021: 10 · 2020: 9 · 2019: 11 · 2018: 9 · 2017: 6 · 2016: 3 · 2015: 10 · 2014: 7 · 2013: 12 · 2012: 9
- FWCI
- 21.81
- Type
- book chapter
- Language
- en
- Open access
- closed
- Locations
- Handbook of economic forecasting (publishedVersion)
- Topics
- Social Sciences › Decision Sciences › Management Science and Operations Research › Forecasting Techniques and Applications
- Physical Sciences › Mathematics › Statistics and Probability › Statistical Methods and Inference
- Social Sciences › Economics, Econometrics and Finance › General Economics, Econometrics and Finance › Monetary Policy and Economic Impact
- Keywords
- forecast evaluation, asymptotic inference, simulation-based methods, model comparison, benchmark comparison, forecast accuracy
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