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Bootstrapping the Double-Weighted Predictability Test for Predictive Quantile Regression

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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/j.jeconom.2008.12.005openalex-extracted

Quantile cointegrating regression

inferredcites →https://doi.org/10.1016/j.jeconom.2013.08.002openalex-extracted

Testing predictive regression models with nonstationary regressors

inferredcites →https://doi.org/10.1016/j.jeconom.2015.02.030openalex-extracted

Model-based pricing for financial derivatives

inferredcites →https://doi.org/10.1016/j.jeconom.2015.04.003openalex-extracted

Predictive quantile regression with persistent covariates: IVX-QR approach

inferredcites →https://doi.org/10.1016/j.jeconom.2019.04.014openalex-extracted

Predictive quantile regressions under persistence and conditional heteroskedasticity

inferredcites →https://doi.org/10.1016/j.jeconom.2021.10.012openalex-extracted

A New Robust Inference for Predictive Quantile Regression

inferredcites →https://doi.org/10.1016/j.jeconom.2024.105674openalex-extracted

Panel quantile regression for extreme risk

inferredcites →https://doi.org/10.1016/j.jfineco.2005.05.008openalex-extracted

Efficient tests of stock return predictability☆

inferredcites →https://doi.org/10.1093/biomet/74.3.535openalex-extracted

Towards a Unified Asymptotic Theory for Autoregression

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/hhu139openalex-extracted

Robust Econometric Inference for Stock Return Predictability

inferredcites →https://doi.org/10.1093/rfs/hhx096openalex-extracted

Robust Bond Risk Premia

inferredcites →https://doi.org/10.1111/jtsa.12418openalex-extracted

Asymptotic Theory and Unified Confidence Region for an Autoregressive Model

inferredcites →https://doi.org/10.1198/016214504000001114openalex-extracted

Unit Root Quantile Autoregression Inference

inferredcites →https://doi.org/10.1214/13-aoas708openalex-extracted

Predictive regressions for macroeconomic data

inferredcites →https://doi.org/10.2139/ssrn.4767275openalex-extracted

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

inferredcites →https://doi.org/10.2307/1913643openalex-extracted

Regression Quantiles

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