Penetrating sporadic return predictability
From MaRDI portal
Publication:6090551
Recommendations
- A reexamination of stock return predictability
- The Predictability of Short-Horizon Stock Returns
- A new test of asset return predictability with an unstable predictor
- A new tight and general bound on return predictability
- Stock return predictability: Evaluation based on interval forecasts
- Stock return predictability despite low autocorrelation
- Testing for episodic predictability in stock returns
- Predictability of stock returns and asset allocation under structural breaks
- Predicting changes in dynamical behaviour of asset price returns
Cites work
- A new robust inference for predictive quantile regression
- A note on adaptive group Lasso
- A reexamination of stock return predictability
- A unified test for predictability of asset returns regardless of properties of predicting variables
- Asset pricing theory.
- Asymptotic Properties of Residual Based Tests for Cointegration
- Asymptotic inference for nearly nonstationary AR(1) processes
- Consistent and conservative model selection with the adaptive Lasso in stationary and nonstationary autoregressions
- Consistent inference for predictive regressions in persistent economic systems
- Estimating and Testing Structural Changes in Multivariate Regressions
- Estimating multiple breaks in nonstationary autoregressive models
- Estimating the dimension of a model
- Extended Bayesian information criteria for model selection with large model spaces
- Forward regression for ultra-high dimensional variable screening
- Group Lasso for structural break time series
- Group fused Lasso for large factor models with multiple structural breaks
- High-dimensional predictive regression in the presence of cointegration
- Instrumental variable and variable addition based inference in predictive regressions
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Model Selection and Estimation in Regression with Grouped Variables
- Multiple structural breaks in cointegrating regressions: a model selection approach
- Nonparametric and semiparametric regressions subject to monotonicity constraints: estimation and forecasting
- Nonparametric inference for quantile cointegrations with stationary covariates
- Nonparametric predictive regression
- On LASSO for predictive regression
- Optimal Inference in Regression Models with Nearly Integrated Regressors
- Oracle efficient estimation of structural breaks in cointegrating regressions
- Predictability of stock returns and asset allocation under structural breaks
- Predicting the equity premium with dividend ratios
- Predictive quantile regression with persistent covariates: IVX-QR approach
- Predictive quantile regressions under persistence and conditional heteroskedasticity
- Predictive regression under various degrees of persistence and robust long-horizon regression
- Shrinkage estimation of regression models with multiple structural changes
- Simultaneous analysis of Lasso and Dantzig selector
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Structural change in AR(1) models
- Structural change in nonstationary \(\mathrm{AR}(1)\) models
- Testing for parameter instability in predictive regression models
- The Adaptive Lasso and Its Oracle Properties
- The limit distribution of the estimates in cointegrated regression models with multiple structural changes
- Towards a unified asymptotic theory for autoregression
This page was built for publication: Penetrating sporadic return predictability
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6090551)
