On the serial correlation in multi-horizon predictive quantile regression

DOI10.1016/J.ECONLET.2021.109736zbMATH Open1462.62644OpenAlexW3119891160MaRDI QIDQ2659974FDOQ2659974

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

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zbMATH Keywords

quantile regressionpredictive regressionheteroskedasticity and autocorrelation robust (HAR)-type inferencelong horizonsoverlapping observationsstock return data

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (4)

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

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