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A Nontrivial Upper Bound on the Out-of-Sample $R^2$ in Return Forecasting
Cheng Zhang
statisticsResource overview

A Nontrivial Upper Bound on the Out-of-Sample $R^2$ in Return Forecasting

Paper2026

by Cheng Zhang

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statistics

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Suggested foundations for financial time series and probability and statistical reasoning. Specialist prerequisites vary by paper.

Before you read

  1. Stationarity and Unit Roots

    Check whether a relationship can be estimated consistently over time.

  2. Linear Regression

    Read the fitted relationship and its residuals.

  3. Random Variables and Distributions

    Read the distributions and expectations used in probabilistic arguments.

  4. Conditional Expectation

    Interpret expectations after information is observed.

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  1. Cointegration and Error Correction

    Study long-run relationships without confusing them with correlation.

  2. Regression Assumptions and Diagnostics

    Check the assumptions behind reported estimates.

  3. Confidence Intervals and Hypothesis Testing

    Assess uncertainty rather than treating an estimate as a fact.

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