Quantile prediction with factor-augmented regression: structural instability and model uncertainty

DOI10.1016/J.JECONOM.2025.105999MaRDI QIDQ6969765zbMATH OpenFDO

Authors Yundong Tu, Siwei Wang

Publication date 19 June 2025

Published in Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

factor modellocal stationaritymodel misspecificationtime-varying parametersforward-validation

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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