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Predictive Quantile Regressions with Persistent and Heteroskedastic Predictors: A Powerful 2sls Testing Approach

https://doi.org/10.2139/ssrn.4767275
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Outgoing claims: the papers this work cites, builds on, or argues with.

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A Quantile Regression Approach to Equity Premium Prediction
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The Dynamic Power Law Model
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Quasi-maximum likelihood estimation for conditional quantiles
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A robust version of the KPSS test based on indicators
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Time-varying jump tails
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Predictive quantile regression with persistent covariates: IVX-QR approach
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Inference on co-integration parameters in heteroskedastic vector autoregressions
inferredcites →https://doi.org/10.1016/j.jeconom.2019.04.014openalex-extracted
Predictive quantile regressions under persistence and conditional heteroskedasticity
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Testing for episodic predictability in stock returns
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A New Robust Inference for Predictive Quantile Regression
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Extensions to IVX methods of inference for return predictability
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Tail index estimation in the presence of covariates: Stock returns’ tail risk dynamics
inferredcites →https://doi.org/10.1016/j.jeconom.2024.105875openalex-extracted
Inference in predictive quantile regressions
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Instability of return prediction models
inferredcites →https://doi.org/10.1016/j.jfineco.2005.05.008openalex-extracted
Efficient tests of stock return predictability☆
inferredcites →https://doi.org/10.1016/j.jfineco.2015.02.010openalex-extracted
Tail risk premia and return predictability
inferredcites →https://doi.org/10.1016/j.jfineco.2015.06.005openalex-extracted
The risk premia embedded in index options
inferredcites →https://doi.org/10.1016/s0304-405x(99)00041-0openalex-extracted
Predictive regressions
inferredcites →https://doi.org/10.1017/s0266466600009981openalex-extracted
Inference in Models with Nearly Integrated Regressors
inferredcites →https://doi.org/10.1017/s0266466608090038openalex-extracted
COVARIANCE-BASED ORTHOGONALITY TESTS FOR REGRESSORS WITH UNKNOWN PERSISTENCE
inferredcites →https://doi.org/10.1080/07474938.2014.977086openalex-extracted
Stock return predictability: A factor-augmented predictive regression system with shrinkage method
inferredcites →https://doi.org/10.1080/1351847x.2019.1647866openalex-extracted
Out-of-sample equity premium prediction: a complete subset quantile regression approach
inferredcites →https://doi.org/10.1093/jjfinec/nbx007openalex-extracted
Nonparametric Tail Risk, Stock Returns and the Macroeconomy
inferredcites →https://doi.org/10.1093/jjfinec/nbz017openalex-extracted
Exact Inference in Long-Horizon Predictive Quantile Regressions with an Application to Stock Returns
inferredcites →https://doi.org/10.1093/rfs/16.1.0101openalex-extracted
Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
inferredcites →https://doi.org/10.1093/rfs/hhm014openalex-extracted
A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
inferredcites →https://doi.org/10.1093/rfs/hhp008openalex-extracted
Expected Stock Returns and Variance Risk Premia
inferredcites →https://doi.org/10.1093/rfs/hhu039openalex-extracted
Tail Risk and Asset Prices
inferredcites →https://doi.org/10.1093/rfs/hhu139openalex-extracted
Robust Econometric Inference for Stock Return Predictability
inferredcites →https://doi.org/10.1093/rfs/hhy133openalex-extracted
Measuring Tail Risks at High Frequency
inferredcites →https://doi.org/10.1093/rof/rfaa040openalex-extracted
Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity
inferredcites →https://doi.org/10.1093/rof/rfac035openalex-extracted
On the Economic Significance of Stock Return Predictability
inferredcites →https://doi.org/10.1111/j.1467-9892.2007.00557.xopenalex-extracted
Time‐Transformed Unit Root Tests for Models with Non‐Stationary Volatility
inferredcites →https://doi.org/10.1111/j.1468-0262.2006.00679.xopenalex-extracted
Optimal Inference in Regression Models with Nearly Integrated Regressors
inferredcites →https://doi.org/10.1111/j.1540-6261.1989.tb02647.xopenalex-extracted
Why Does Stock Market Volatility Change Over Time?
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04731.xopenalex-extracted
Predictable Stock Returns: The Role of Small Sample Bias
inferredcites →https://doi.org/10.1111/j.1540-6261.2011.01695.xopenalex-extracted
Tails, Fears, and Risk Premia
inferredcites →https://doi.org/10.1111/j.1540-6261.2011.01697.xopenalex-extracted
Disasters Implied by Equity Index Options
inferredcites →https://doi.org/10.1146/annurev-financial-110217-022737openalex-extracted
Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertainty
inferredcites →https://doi.org/10.1214/aos/1176343247openalex-extracted
A Simple General Approach to Inference About the Tail of a Distribution
inferredcites →https://doi.org/10.1287/mnsc.2017.2949openalex-extracted
Tail Risk Concerns Everywhere
inferredcites →https://doi.org/10.1287/mnsc.49.5.639.15149openalex-extracted
Predicting the Equity Premium with Dividend Ratios
inferredcites →https://doi.org/10.2139/ssrn.1107185openalex-extracted
Is the Distribution of Stock Returns Predictable?
inferredcites →https://doi.org/10.2139/ssrn.2061036openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.2335084openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.2359441openalex-extracted
Inference on Co-Integration Parameters in Heteroskedastic Vector Autoregressions
inferredcites →https://doi.org/10.2139/ssrn.2768961openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.282451openalex-extracted
Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
inferredcites →https://doi.org/10.2139/ssrn.617357openalex-extracted
Optimal Inference in Regression Models with Nearly Integrated Regressors
inferredcites →https://doi.org/10.2307/2328636openalex-extracted
Why Does Stock Market Volatility Change Over Time?
inferredcites →https://doi.org/10.3982/ecta10535openalex-extracted
Nearly Optimal Tests When a Nuisance Parameter Is Present Under the Null Hypothesis
inferredcites →https://doi.org/10.3982/ecta10719openalex-extracted
Parametric Inference and Dynamic State Recovery From Option Panels
inferredcites →https://doi.org/10.1016/j.jfineco.2013.04.009openalex-snapshot
Pricing the term structure with linear regressions

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Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.4827155openalex-extracted
Bootstrapping the Double-Weighted Predictability Test for Predictive Quantile Regression
inferred← citeshttps://doi.org/10.1080/07474938.2025.2486991openalex-snapshot
Testing predictability of stock returns under quantile regression: A bootstrapping double-weighted approach
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