Title:

Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns

Authors:

Andreas Kaeck (U Sussex)
Paulo Rodrigues (U Maastricht)
Norman J. Seeger (VU University Amsterdam)

Journal:

Journal of Economic Dynamics and Control

Year:

2018

Volume:

90

Pages:

1-29

JEL code:

G12 - Asset Pricing; Trading volume; Bond Interest Rates

DOI:

10.1016/j.jedc.2018.01.040