Unified Inference for Dynamic Quantile Predictive Regression
Econometrics
2023-11-13 v2
Abstract
This paper develops unified asymptotic distribution theory for dynamic quantile predictive regressions which is useful when examining quantile predictability in stock returns under possible presence of nonstationarity.
Keywords
Cite
@article{arxiv.2309.14160,
title = {Unified Inference for Dynamic Quantile Predictive Regression},
author = {Christis Katsouris},
journal= {arXiv preprint arXiv:2309.14160},
year = {2023}
}
Comments
arXiv admin note: text overlap with arXiv:2308.06617