Testing for episodic predictability in stock returns

DOI10.1016/J.JECONOM.2020.01.001MaRDI QIDQ2116325zbMATH OpenOpenAlexFDO

Authors Matei Demetrescu, Iliyan Georgiev, Paulo M. M. Rodrigues, A. M. Robert Taylor

Publication date 16 March 2022

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/j.jeconom.2020.01.001

zbMATH Keywords

conditional and unconditional heteroskedasticityendogeneitypersistencepredictive regressionrolling and recursive IV estimation

Mathematics Subject Classification ID

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

Cites work

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• Predicting the equity premium with dividend ratios
• Predictive regression under various degrees of persistence and robust long-horizon regression
• Testing for parameter instability in predictive regression models
• The generalized fluctuation test: A unifying view

Cited in

(17)

• Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes
• Simple tests for stock return predictability with good size and power properties
• Stability Testing of Stock Returns Connections
• Testing for Predictability in Financial Returns Using Statistical Learning Procedures
• Short term prediction of extreme returns based on the recurrence interval analysis
• Penetrating sporadic return predictability
• Extensions to IVX methods of inference for return predictability
• Transformed regression-based long-horizon predictability tests
• Robust inference with stochastic local unit root regressors in predictive regressions
• A Unified Inference for Predictive Quantile Regression
• Weighted nonlinear regression with nonstationary time series
• A new Portmanteau test for predictive regression models with possible embedded endogeneity
• Time-varying parameter regressions with stationary persistent data
• Predictive quantile regressions with persistent and heteroskedastic predictors: a powerful 2SLS testing approach
• Directional predictability tests
• Local Predictability in High Dimensions
• Partial sums of almost overdifferenced, near-stationary processes with time-varying properties

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