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The determinants of quantile autocorrelations : evidence from the UK

Ge̜bka, Bartosz; Wohar, Mark E. - In: International review of financial analysis 29 (2013), pp. 51-61

Persistent link: https://www.econbiz.de/10010244128

On the Properties of Regression Tests of Asset Return Predictability

Velasco, Carlos - 2011

This paper investigates, both in finite samples and asymptotically, statistical inference on predictive regressions where time series are generated by present value models of asset prices. We show that regression-based tests, including optimal robust tests such as Jasson and Moreira's...

Persistent link: https://www.econbiz.de/10013132892

Predictive regression with p-lags and order-q autoregressive predictors

Jayetileke, Harshanie L.; Wang, You-Gan; Zhu, Min - In: Journal of empirical finance 62 (2021), pp. 282-293

Persistent link: https://www.econbiz.de/10012693434

A new robust inference for asset return predictability via quantile regression

Cai, Zongwu; Chen, Haiqiang; Liao, Xiaosai - 2020

Persistent link: https://www.econbiz.de/10012203086

LSTUR regression theory and the instability of the sample correlation coefficient between financial return indices

Ginker, Tim; Lieberman, Offer - In: The econometrics journal 24 (2021) 1, pp. 58-82

Persistent link: https://www.econbiz.de/10012504449

Moment estimators for autocorrelated time series and their application to default correlations

Frei, Christoph; Wunsch, Marcus - In: The journal of credit risk : published quarterly by … 14 (2018) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10011885453

Stock return autocorrelations revisited : a quantile regression approach

Baur, Dirk G.; Dimpfl, Thomas; Jung, Robert - 2012

The aim of this study is to provide a comprehensive description of the dependence pattern of stock returns by studying a range of quantiles of the conditional return distribution using quantile autoregression. This enables us in particular to study the behavior of extreme quantiles associated...