most citedReturn-Decay Residuals and Tail-Risk Forecasting: Timing Artifacts, Conditional Inference, and Cross-Market Evidence

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q-fin.RM2026

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

Chorok Lee

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 throughou…