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Intraday end-of-day volume prediction

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Exact inference in long-horizon predictive quantile regressions with an application to stock returns

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Unified tests for a dynamic predictive regression

Yang, Bingduo; Liu, Xiaohui; Peng, Liang; Cai, Zongwu - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 3, pp. 684-699

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Testing heteroskedasticity for predictive regressions with nonstationary regressors

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A new test for multiple predictive regression

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Variable selection and forecasting in high dimensional linear regressions with structural breaks

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This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or exponential down-weighting. However, these studies...

Persistent link: https://www.econbiz.de/10012258549

Uniform test for predictive regression with AR errors

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Unified tests for a dynamic predictive regression

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Persistent link: https://www.econbiz.de/10011965817

Testing heteroskedasticity for predictive regressions with nonstationary regressors

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Persistent link: https://www.econbiz.de/10012425349