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Financial Innovation
Fig. 4 | Financial Innovation

Fig. 4

From: Robust monitoring machine: a machine learning solution for out-of-sample R\(^2\)-hacking in return predictability monitoring

Fig. 4

Return Predictability and Macroeconomic Uncertainty This figure shows the macroeconomic uncertainty (dotted line) and the probability that the proposed forecast outperforms the benchmark, computed by robust monitoring machine (solid line). The probability in the figure is shown as its 24-month trailing moving-average. The horizontal axis is year

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