Penetrating sporadic return predictability (Q6090551)

scientific article; zbMATH DE number 7767705

Language	Label	Description	Also known as
English	Penetrating sporadic return predictability	scientific article; zbMATH DE number 7767705

Statements

instance of

scholarly article

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title

Penetrating sporadic return predictability (English)

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Journal of Econometrics

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publication date

17 November 2023

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zbMATH Keywords

break point

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persistence imbalance

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predictive regression

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screening

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shrinkage estimation

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MaRDI profile type

MaRDI publication profile

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cites work

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Extended Bayesian information criteria for model selection with large model spaces

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A reexamination of stock return predictability

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STRUCTURAL CHANGE IN AR(1) MODELS

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Q3619682

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Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

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Predictive quantile regressions under persistence and conditional heteroskedasticity

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Predicting the Equity Premium with Dividend Ratios

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Optimal Inference in Regression Models with Nearly Integrated Regressors

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Nonparametric predictive regression

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The limit distribution of the estimates in cointegrated regression models with multiple structural changes

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CONSISTENT AND CONSERVATIVE MODEL SELECTION WITH THE ADAPTIVE LASSO IN STATIONARY AND NONSTATIONARY AUTOREGRESSIONS

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High-dimensional predictive regression in the presence of cointegration

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Predictive quantile regression with persistent covariates: IVX-QR approach

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On LASSO for predictive regression

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Nonparametric and semiparametric regressions subject to monotonicity constraints: estimation and forecasting

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A unified test for predictability of asset returns regardless of properties of predicting variables

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Group fused Lasso for large factor models with multiple structural breaks

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STRUCTURAL CHANGE IN NONSTATIONARY AR(1) MODELS

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Estimating multiple breaks in nonstationary autoregressive models

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Predictability of stock returns and asset allocation under structural breaks

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Towards a unified asymptotic theory for autoregression

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Statistical Inference in Instrumental Variables Regression with I(1) Processes

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Predictive regression under various degrees of persistence and robust long-horizon regression

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Asymptotic Properties of Residual Based Tests for Cointegration

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SHRINKAGE ESTIMATION OF REGRESSION MODELS WITH MULTIPLE STRUCTURAL CHANGES

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Estimating and Testing Structural Changes in Multivariate Regressions

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Multiple structural breaks in cointegrating regressions: a model selection approach

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Estimating the dimension of a model

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Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions

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Nonparametric inference for quantile cointegrations with stationary covariates

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Forward Regression for Ultra-High Dimensional Variable Screening

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A note on adaptive group Lasso

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Model Selection and Estimation in Regression with Grouped Variables

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The Adaptive Lasso and Its Oracle Properties

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Identifiers

DOI

10.1016/j.jeconom.2023.105509

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6090551