[HTML][HTML] Predictability hidden by Anomalous Observations in Financial Data
L Camponovo, O Scaillet, F Trojani - Econometrics and Statistics, 2024 - Elsevier
Testing procedures for predictive regressions involving lagged autoregressive variables
produce a suboptimal inference in presence of minor violations of ideal assumptions. A …
produce a suboptimal inference in presence of minor violations of ideal assumptions. A …