On the serial correlation in multi-horizon predictive quantile regression (Q2659974)
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scientific article; zbMATH DE number 7328770
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| English | On the serial correlation in multi-horizon predictive quantile regression |
scientific article; zbMATH DE number 7328770 |
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On the serial correlation in multi-horizon predictive quantile regression (English)
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29 March 2021
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heteroskedasticity and autocorrelation robust (HAR)-type inference
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long horizons
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overlapping observations
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predictive regression
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quantile regression
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stock return data
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0.7674139142036438
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0.7341052889823914
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0.7113140821456909
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0.7051473259925842
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0.7036012411117554
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