We propose an alternative Ratio Statistic for measuring predictability of stock prices. Our statistic is based on actual returns rather than logarithmic returns and is therefore better suited to capturing price predictability. It captures not only linear dependence in the same way as the...

I propose a new model, conditional quantile regression (CQR), that generates density forecasts consistent with a specific view of the future evolution of some variables. This addresses a shortcoming of existing quantile regression-based models, for example the at-risk framework popularised by...