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Predictive quantile regression with persistent covariates: IVX-QR approach · Study

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ArticlePredictive quantile regression with persistent covariates: IVX-QR approach

Ji Hyung Lee2015

Article2015

Predictive quantile regression with persistent covariates: IVX-QR approach

63 citations·0/0 files stored·Journal of Econometrics

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Statistical Methods and Inference

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References

1993Common risk factors in the returns on stocks and bonds 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?1989Simulation and the Asymptotics of Optimization Estimators 2006Efficient tests of stock return predictability☆1987Towards a Unified Asymptotic Theory for Autoregression 1995Fully Modified Least Squares and Vector Autoregression

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2015Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression 2019Testing for Multiple-Horizon Predictability: Direct Regression Based versus Implication Based

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Year2015

Typearticle

Published2015-12-29

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations63

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jeconom.2015.04.003

openalex_workW1720183910

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