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Nonlinear predictability of stock returns? : parametric versus nonparametric inference in predictive regressions
Demetrescu, Matei; Hillmann, Benjamin - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 382-397
Persistent link: https://www.econbiz.de/10012804123
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Text selection
Kelly, Bryan T.; Manela, Asaf; Moreira, Alan - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 859-879
Persistent link: https://www.econbiz.de/10012653195
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Bayesian inference for regression copulas
Smith, Michael S.; Klein, Nadja - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 3, pp. 712-728
Persistent link: https://www.econbiz.de/10012587971
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Markov-switching three-pass regression filter
Guérin, Pierre; Leiva-Leon, Danilo; Marcellino, … - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 285-302
Persistent link: https://www.econbiz.de/10012262467
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A comparison of two quantile models with endogeneity
Wüthrich, Kaspar - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 443-456
Persistent link: https://www.econbiz.de/10012262486
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Inferring the predictability induced by a persistent regressor in a predictive threshold model
Gonzalo, Jesús; Pitarakis, Jean-Yves - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 202-217
Persistent link: https://www.econbiz.de/10011704166
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Status traps
Durlauf, Steven N.; Kourtellos, Andros; Tan, Chih Ming - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 265-287
Persistent link: https://www.econbiz.de/10011704191
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A bootstrap stationarity test for predictive regression invalidity
Georgiev, Iliyan; Harvey, David I.; Leybourne, Stephen James - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 3, pp. 528-541
Persistent link: https://www.econbiz.de/10012178194
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Forecasting value at risk and expected shortfall using a semiparametric approach based on the asymmetric laplace distribution
Taylor, James W. - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 1, pp. 121-133
Persistent link: https://www.econbiz.de/10012176554
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Fixed-k inference for conditional extremal quantiles
Sasaki, Yuya; Wang, Yulong - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 829-837
Persistent link: https://www.econbiz.de/10013534559