Before revision:  We also establish theoretical performance guarantees under arbitrary model misspecification. The usefulness of the proposed method is illustrated based on two applications. First, we study the problem of predicting daily returns using realized volatility. Second, we consider a synthetic control setting where the goal is to predict a country's counterfactual GDP growth rate based on the contemporaneous GDP growth rates of other countries .
After revision:  We also establish theoretical performance guarantees under model misspecification, overfitting, and with time series data .