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arXiv · 2309.14160

Unified Inference for Dynamic Quantile Predictive Regression

Christis Katsouris
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Abstract

This paper develops unified asymptotic distribution theory for dynamic quantile predictive regressions which is useful when examining quantile predictability in stock returns under possible presence of nonstationarity.

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Christis Katsouris. 2023-09-25. Unified Inference for Dynamic Quantile Predictive Regression. https://arxiv.org/abs/2309.14160

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