On the serial correlation in multi-horizon predictive quantile regression

DOI10.1016/J.ECONLET.2021.109736MaRDI QIDQ2659974zbMATH OpenOpenAlexFDO

Authors Ke-Li Xu

Publication date 29 March 2021

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2021.109736

zbMATH Keywords

heteroskedasticity and autocorrelation robust (HAR)-type inferencelong horizonsoverlapping observationspredictive regressionquantile regressionstock return data

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Measures of association (correlation, canonical correlation, etc.) (62H20) General nonlinear regression (62J02) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A smooth block bootstrap for quantile regression with time series
• Predictive quantile regression with persistent covariates: IVX-QR approach
• Unit Root Quantile Autoregression Inference

Cited in

(5)

• Predictive quantile regressions under persistence and conditional heteroskedasticity
• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
• Using least squares to generate forecasts in regressions with serial correlation
• A Unified Inference for Predictive Quantile Regression
• A simplified condition for quantile regression

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