HAC Standard Errors and Robust Inference intermediate
When forecast errors have memory, the coefficient may stay the same while the t-statistic should not.
When forecast errors have memory, the coefficient may stay the same while the t-statistic should not.
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References
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Andrew W. Lo
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— Financial Analysts Journal
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Philippe Artzner, Freddy Delbaen, Jean-Marc Eber, David Heath
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— Mathematical Finance
Neural Ordinary Differential Equations
Ricky T. Q. Chen, Yulia Rubanova, Jesse Bettencourt, David Duvenaud
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