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Research Article

Unintended look-ahead bias in out-of-sample forecasting

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References

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  • Inoue, A., and L. Kilian. 2005. “In-Sample or Out-Of-Sample Tests of Predictability: Which One Should We Use?” Econometric Reviews 23 (4): 371–402. doi:10.1081/ETC-200040785.
  • Pesaran, M. H., and A. Timmermann. 1995. “Predictability of Stock Returns: Robustness and Economic Significance.” The Journal of Finance 50 (4): 1201–1228. doi:10.1111/j.1540-6261.1995.tb04055.x.

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