Unified Inference for Dynamic Quantile Predictive Regression

Christis Katsouris

Papers from arXiv.org

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.

Date: 2023-09, Revised 2023-11
New Economics Papers: this item is included in nep-ecm and nep-ets
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