Quantile and least-absolute deviations (LAD) methods are popular robust statistical methods but have not generally been applied to state filtering and sequential parameter learning. This paper introduces robust state space models whose error structure coincides with quantile estimation...

When a new asset keeps changing its narrative, investors find difficulty in classifying and understanding the new asset. Rational investors therefore face unprecedented uncertainty and learn about the joint dynamics to optimize their portfolio accordingly. Bitcoin's "digital gold" narrative, as...

The out-of-sample R2 is designed to measure forecasting performance without look-ahead bias. However, researchers can hack this performance metric even without multiple tests by constructing a prediction model using the intuition derived from empirical properties that appear only in the test...

Out-of-sample R2-hacking problems can arise even without multiple testing if a researcher constructs a prediction model using the intuition derived from empirical properties that appear only in the test sample. We provide a machine-learning solution for this problem in the context of robust...

For optimal asset allocation, mean-variance investors must learn about the joint dynamics of new and existing asset classes, not only their profitability. Bitcoin's digital gold narrative provides a unique laboratory to test this hypothesis. We find that a decrease in investors' estimate on...

We put forward a model in which analysts are uncertain about a firm's earnings process. Faced with the possibility of using a misspecified model, analysts issue forecasts that are robust to model misspecification. We estimate that this mechanism explains approximately 60% of the autocorrelation...

Out-of-sample tests are subject to look-ahead bias when a forecaster constructs a model using an intuition derived from empirical patterns in the test sample. Even if model parameters are estimated without the test sample, information from it affects a forecaster's model choice. Since such...

We find that high environmental penalties are associated with a subsequent decline in green patents by U.S. manufacturing firms. Utilizing the 1990 Clean Air Act Amendment (1990 CAAA) as a quasi-natural experiment, we show that an exogenous shock increasing expected environmental penalties...

This study proposes an integrated framework for successfully implementing collaboration strategies in supply chain (SC) management using a fuzzy decision-making trial and evaluation laboratory (DEMATEL) and multi-criteria decision-making (MCDM) approach. The study analyses and measures the...