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Predictive quantile regression with persistent covariates: IVX-QR approach
16 references·2 citing·45 second hop
Predictive quantile regression with persistent covariates: IVX-QR approach (2015)Predictive quantile regression with persi…The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (2016)The cross-quantilogram: Measu…Robust Econometric Inference for Stock Return Predictability (2014)Robust Econometric Inference …The extremogram: A correlogram for extreme events (2009)The extremogram: A correlogra…Quantile cointegrating regression (2008)Quantile cointegrating regres…Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Optimal Inference in Regression Models with Nearly Integrated Regressors (2006)Optimal Inference in Regressi…Efficient tests of stock return predictability☆ (2006)Efficient tests of stock retu…Limit theory for moderate deviations from a unit root (2005)Limit theory for moderate dev…Inference in Models with Nearly Integrated Regressors (1995)Inference in Models with Near…Fully Modified Least Squares and Vector Autoregression (1995)Fully Modified Least Squares …Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series (1991)Confidence intervals for the …Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Statistical Inference in Inst…Simulation and the Asymptotics of Optimization Estimators (1989)Simulation and the Asymptotic…Towards a Unified Asymptotic Theory for Autoregression (1987)Towards a Unified Asymptotic …Testing for Multiple-Horizon Predictability: Direct Regression Based versus Implication Based (2019)Testing for Multiple-Horizon …Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression (2015)Halbert White Jr. Memorial JF…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Patents as Options: Some Estimates of the Value of Holding European Patent Stocks (1984)Automobile Prices in Market Equilibrium (1995)Discrete Choice Methods with Simulation (2001)The Impact of Uncertainty Shocks (2009)Time Series Regression with a Unit Root (1987)Testing for a Unit Root in Time Series Regression (1988)Inference in Linear Time Series Models with some Unit Roots (1990)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a unit root in panels with dynamic factors (2004)The local power of some unit root tests for panel data (2004)The Behavior of Stock-Market Prices (1965)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)An analysis of the literature on systemic financial risk: A survey (2016)Frequency Connectedness and Cross-quantile Dependence Between Green Bond and Green Equity Markets (2020)Searching for safe-haven assets during the COVID-19 pandemic (2020)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Presidential Address: Discount Rates (2011)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 (2015)RETRACTED: Datestamping the Bitcoin and Ethereum bubbles (2017)On the Estimation and Inference of a Cointegrated Regression in Panel Data (1997)A Parametric approach to the Estimation of Cointegration Vectors in Panel Data (2005)Energy consumption, carbon emissions, and economic growth in China (2009)Stock Return Predictability: Is it There? 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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes4,930 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 1989Simulation and the Asymptotics of Optimization Estimators1,496 cited
  • 2006Efficient tests of stock return predictability☆992 cited
  • 1987Towards a Unified Asymptotic Theory for Autoregression842 cited
  • 1995Fully Modified Least Squares and Vector Autoregression597 cited
  • 2016The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series553 cited
  • 2005Limit theory for moderate deviations from a unit root454 cited
  • 2008Quantile cointegrating regression431 cited
  • 1991Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series416 cited
  • 1995Inference in Models with Nearly Integrated Regressors370 cited
  • 2014Robust Econometric Inference for Stock Return Predictability279 cited
  • 2006Optimal Inference in Regression Models with Nearly Integrated Regressors

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226 cited
  • 2009The extremogram: A correlogram for extreme events218 cited
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    • 2015Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression63 cited
    • 2019Testing for Multiple-Horizon Predictability: Direct Regression Based versus Implication Based35 cited