Do Return Prediction Models Add Economic Value

By Tolga Cenesizoglu, Allan G. Timmermann. 2012

179 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/897c4e20a130b0952bae03ea4a80c9ca0cb1fe04

Citations in the corpus

• Risk Everywhere: Modeling and Managing Volatility (2018, unknown): “See also Cenesizoglu and Timmermann (2012), who find a weak relation between “a return prediction model’s out-of-sample statistical performance and its ability to add economic value.””