Regime-Specific Return Predictability in Quantiles
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Cites work
- A new robust inference for predictive quantile regression
- A note on adaptive group Lasso
- A Unified Inference for Predictive Quantile Regression
- Common threshold in quantile regressions with an application to pricing for reputation
- Consistent and conservative model selection with the adaptive Lasso in stationary and nonstationary autoregressions
- Estimation and model selection based inference in single and multiple threshold models.
- Extended Bayesian information criteria for model selection with large model spaces
- High-dimensional predictive regression in the presence of cointegration
- Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model
- Joint Structural Break Detection and Parameter Estimation in High-Dimensional Nonstationary VAR Models
- LASSO estimation of threshold autoregressive models
- Model Selection and Estimation in Regression with Grouped Variables
- Nonparametric inference for quantile cointegrations with stationary covariates
- On LASSO for high dimensional predictive regression
- On LASSO for predictive regression
- Optimal Inference in Regression Models with Nearly Integrated Regressors
- Oracle estimation of a change point in high-dimensional quantile regression
- Penetrating sporadic return predictability
- Predictive quantile regression with mixed roots and increasing dimensions: the ALQR approach
- 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
- Quantile cointegrating regression
- Regime-Specific Predictability in Predictive Regressions
- Regression Quantiles
- Robust estimation and inference for threshold models with integrated regressors
- Robust inference with stochastic local unit root regressors in predictive regressions
- Sample Splitting and Threshold Estimation
- Shrinkage estimation of multiple threshold factor models
- Simultaneous analysis of Lasso and Dantzig selector
- Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model
- The Adaptive Lasso and Its Oracle Properties
- The Lasso for high dimensional regression with a possible change point
- Tuning parameter selection in high dimensional penalized likelihood
- Unified Tests for a Dynamic Predictive Regression
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