Add to ORKGThis 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.Comment: arXiv admin note: text overlap with arXiv:2308.0661
This paper develops econometric methods for inference and prediction in quantile regression (QR) all...
Quantiles are useful characteristics of random variables that can provide substantial information on...
This paper introduces a nonparametric test for the correct specification of a linear conditional qua...
This paper develops unified asymptotic distribution theory for dynamic quantile predictive regressio...
This article proposes omnibus speci cation tests of parametric dynamic quantile regression models. C...
In this paper we propose the adaptive lasso for predictive quantile regression (ALQR). Reflecting em...
This paper makes two main contributions to inference for conditional quantiles. First, we construct ...
This article develops a random effects quantile regression model for panel data that allows for incr...
This article studies quantile regression in an autoregressive dynamic framework with exogenous stati...
This thesis consists of three essays. The first essay investigates the issue of local misspecificati...
We propose a test for structural change of conditional distribution in dynamic regression models. Th...
This article proposes omnibus consistent goodness-of-\u85t tests of a parametric dynamic quan-tile r...
This paper develops estimation and inference methods for conditional quantile factor models. We firs...
This paper tests whether it is possible to improve point, quantile and density forecasts of realised...
The paper introduces a new class of models, named dynamic quantile linear models, which combines dyn...
This paper develops econometric methods for inference and prediction in quantile regression (QR) all...
Quantiles are useful characteristics of random variables that can provide substantial information on...
This paper introduces a nonparametric test for the correct specification of a linear conditional qua...
This paper develops unified asymptotic distribution theory for dynamic quantile predictive regressio...
This article proposes omnibus speci cation tests of parametric dynamic quantile regression models. C...
In this paper we propose the adaptive lasso for predictive quantile regression (ALQR). Reflecting em...
This paper makes two main contributions to inference for conditional quantiles. First, we construct ...
This article develops a random effects quantile regression model for panel data that allows for incr...
This article studies quantile regression in an autoregressive dynamic framework with exogenous stati...
This thesis consists of three essays. The first essay investigates the issue of local misspecificati...
We propose a test for structural change of conditional distribution in dynamic regression models. Th...
This article proposes omnibus consistent goodness-of-\u85t tests of a parametric dynamic quan-tile r...
This paper develops estimation and inference methods for conditional quantile factor models. We firs...
This paper tests whether it is possible to improve point, quantile and density forecasts of realised...
The paper introduces a new class of models, named dynamic quantile linear models, which combines dyn...
This paper develops econometric methods for inference and prediction in quantile regression (QR) all...
Quantiles are useful characteristics of random variables that can provide substantial information on...
This paper introduces a nonparametric test for the correct specification of a linear conditional qua...