Inference in predictive quantile regressions

Cites Work

The quantilogram: with an application to evaluating directional predictability
Regression Quantiles
Title not available (Why is that?)
Quantile Autoregression
Statistical Inference in Instrumental Variables Regression with I(1) Processes
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
Unit root quantile autoregression testing using covariates
Quantile cointegrating regression
Unit Root Quantile Autoregression Inference
Predictive quantile regression with persistent covariates: IVX-QR approach
Quantile cointegration in the autoregressive distributed-lag modeling framework
The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
Copula-based nonlinear quantile autoregression
Title not available (Why is that?)
Efficient Tests for an Autoregressive Unit Root
Dynamic quantile models
Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter
MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
Optimal Inference in Regression Models with Nearly Integrated Regressors
Nearly Optimal Tests When a Nuisance Parameter Is Present Under the Null Hypothesis
On Confidence Intervals for Autoregressive Roots and Predictive Regression
Asymptotic normality of Powell's kernel estimator
Testing predictive regression models with nonstationary regressors
A new robust inference for predictive quantile regression
Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects
Predictive quantile regressions under persistence and conditional heteroskedasticity
QUANTILOGRAMS UNDER STRONG DEPENDENCE
HAC Covariance Matrix Estimation in Quantile Regression

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