A tree-structured linear and quantile regression framework is proposed for the analysis and modeling of equity market returns. The approach is based on the idea of a binary tree, where every terminal node parameterizes a local regression model for a specific partition of the data. A Bayesian...

Since long the auto industry has been a valued source of leading business cycle indicators. While practitioners continue to use data on new car registrations to forecast economic activity, the predictive performance of auto industry related stock returns has deteriorated in the past decades. For...