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Asymptotically distribution-free tests for the volatility function of a diffusion

Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of econometrics 184 (2015) 1, pp. 124-144

Persistent link: https://www.econbiz.de/10011326801

Hedging strategy using copula and nonparametric methods : evidence from China securities index futures

Pan, Zhiyuan; Sun, Xianchao - In: International journal of economics and financial issues … 4 (2014) 1, pp. 107-121

Persistent link: https://www.econbiz.de/10010519719

On the two algorithms for estimating interactive fixed effects models in Bai (2009)

Chen, Qiang; Yan, Guanpeng - In: Economics letters 233 (2023), pp. 1-4

Persistent link: https://www.econbiz.de/10014505984

How much should we trust R2 and adjusted R2 : evidence from regressions in top economics journals and Monte Carlo simulations

Chen, Qiang; Qi, Ji - 2023

R2 and adjusted R2 may exaggerate a model's true ability to predict the dependent variable in the presence of overfitting, whereas leave-one-out R2 (LOOR2) is robust to overfitting. We demonstrate this by replicating 279 regressions from 100 papers in top economics journals, where the median...

Persistent link: https://www.econbiz.de/10014516080