arXiv 25 Sep 2023 · Econometrics
arXiv:2309.14160 · PDF · DOI · OpenAlex · Extracted main text
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.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Liu, X., Long, W., Peng, L., and Yang, B (2023) A unified inference for predictive quantile regression | 1.000 | 5 | 3 | 100% |
| 2 | Yang, B., Liu, X., Peng, L., and Cai, Z (2021) Unified tests for a dynamic predictive regression | 0.928 | 4 | 3 | 100% |
| 3 | Kostakis, A., Magdalinos, T., and Stamatogiannis, M. P (2015) Robust econometric inference for stock return predictability | 0.644 | 4 | 1 | 100% |
| 4 | Li, C., Li, D., and Peng, L (2017) Uniform test for predictive regression with ar errors | 0.644 | 2 | 2 | 100% |
| 5 | Lee, J. H (2016) Predictive quantile regression with persistent covariates: Ivx-qr approach | 0.585 | 3 | 1 | 100% |
| 6 | Chen, W. W., Deo, R. S., and Yi, Y (2013) Uniform inference in predictive regression models | 0.511 | 2 | 1 | 100% |
| 7 | Fan, R. and Lee, J. H (2019) Predictive quantile regressions under persistence and conditional heteroskedasticity | 0.511 | 2 | 1 | 100% |
| 8 | Kasparis, I., Andreou, E., and Phillips, P. C (2015) Nonparametric predictive regression | 0.511 | 2 | 1 | 100% |
| 9 | Liu, X., Yang, B., Cai, Z., and Peng, L (2019) A unified test for predictability of asset returns regardless of properties of predicting variables | 0.511 | 2 | 1 | 100% |
| 10 | Welch, I. and Goyal, A (2008) A comprehensive look at the empirical performance of equity premium prediction | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 45 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models | 0.405 | 1 | 1 |