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

Keyphrases

• Out-of-sample Performance 100%
• Model Complexity 100%
• S&P 500 Index Returns 100%
• Model Extension 33%
• Specification Test 33%
• At-risk 33%
• Economic Importance 33%
• Stochastic Volatility Model 33%
• Jump-diffusion Process 33%
• Model Features 33%
• Misspecified 33%
• 2008 Financial Crisis 33%
• Set Estimation 33%
• Model Confidence Set 33%
• Turbulent Markets 33%
• Nonaffinity 33%
• Market Regimes 33%
• Finite Activity Jumps 33%
• Return Model 33%
• Infinite-activity Jumps 33%
• Index Returns 33%
• Jump Models 33%

INIS

• performance 100%
• specifications 66%
• testing 33%
• values 33%
• diffusion 33%
• applications 33%
• risks 33%
• range 33%
• affinity 33%
• market 33%
• stochastic processes 33%
• economics 33%
• volatility 33%

Economics, Econometrics and Finance

• Financial Crisis 100%
• Volatility 100%