Testing for episodic predictability in stock returns
DOI10.1016/J.JECONOM.2020.01.001OpenAlexW2918890480MaRDI QIDQ2116325FDOQ2116325
Paulo M. M. Rodrigues, A. M. Robert Taylor, Iliyan Georgiev, Matei Demetrescu
Publication date: 16 March 2022
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.01.001
endogeneitypersistencepredictive regressionconditional and unconditional heteroskedasticityrolling and recursive IV estimation
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Cites Work
- Predictability of stock returns and asset allocation under structural breaks
- The generalized fluctuation test: A unifying view
- Predictive regression under various degrees of persistence and robust long-horizon regression
- Predicting the Equity Premium with Dividend Ratios
- Optimal Inference in Regression Models with Nearly Integrated Regressors
- Efficient Tests for General Persistent Time Variation in Regression Coefficients
- New Tools for Understanding Spurious Regressions
- Nearly Optimal Tests When a Nuisance Parameter Is Present Under the Null Hypothesis
- Instrumental variable and variable addition based inference in predictive regressions
- ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES
- Testing for parameter instability in predictive regression models
- Inference on co-integration parameters in heteroskedastic vector autoregressions
Cited In (12)
- A Unified Inference for Predictive Quantile Regression
- Weighted nonlinear regression with nonstationary time series
- Stability Testing of Stock Returns Connections
- Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes
- Simple tests for stock return predictability with good size and power properties
- Testing for Predictability in Financial Returns Using Statistical Learning Procedures
- A new Portmanteau test for predictive regression models with possible embedded endogeneity
- Extensions to IVX methods of inference for return predictability
- Penetrating sporadic return predictability
- Short term prediction of extreme returns based on the recurrence interval analysis
- Transformed regression-based long-horizon predictability tests
- Robust inference with stochastic local unit root regressors in predictive regressions
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