transfer function selection providing robust simulations on both in sample and out of sample basis. Based on the work of Yonaba …

In the context of modern portfolio theory, we compare the out-of-sample performance of eight investment strategies … which are based on statistical methods with the out-of-sample performance of a family of trivial strategies. A wide range of …

variables included. In a typical stock–bond strategic asset allocation problem, we compute the out-of-sample certainty …, hedging demands, or (net of transaction costs) out-of-sample performances that approximate those obtained from equally simple …

This paper assesses the usefulness of constant gain least squares when forecasting inflation. An out-of-sample forecast …

in-sample and out-of-sample tests applied to daily returns of the Johannesburg Stock Exchange (JSE) All Share Index from … return volatility in South Africa. However, based on the out-of-sample forecasting exercise, we find that even though there … identified structural breaks occurred in our out-of-sample, and recursive estimation of the GARCH(1,1) model is perhaps …

In a typical strategic asset allocation problem, the out-of-sample certainty equivalent returns for a long …. Most (if not all) VARs cannot produce portfolio rules, hedging demands, or out-of-sample performances that approximate …

-type tests for comparing models, in (pseudo-) out-of-sample environments. In that case, much simpler yet more compelling full …-sample model comparison procedures exist; they have been, and should continue to be, widely used. The hunch that (pseudo-) out-of-sample … comparisons proves largely false. On the other hand, (pseudo-) out-of-sample analysis may be useful for learning about comparative …

-correction. Utility calculations also show large effects of bias-adjustment, both in-sample and out-of-sample. …