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Source Exclusion in Regime-Gated Forecasting: A Cross-Market Audit of Equity-Factor Predictability

Lee, Chorok
arXiv (All) · Papers
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risk-management
A source variable can enter a forecast through both lag coefficients and an estimated regime gate. Removing its lag block therefore differs from excluding its information throughout fitting, filtering and tuning. We audit this distinction in equity-factor forecasting. A current-vintage reconstructio
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