A Unified Inference for Predictive Quantile Regression-Reference-Cited by-同舟云学术

A Unified Inference for Predictive Quantile Regression

Published:2023-06-05 Issue: Volume: Page:1-15
ISSN:0162-1459
Container-title:Journal of the American Statistical Association
language:en
Short-container-title:Journal of the American Statistical Association

Author:

Liu Xiaohui¹,Long Wei²,Peng Liang³^ORCID,Yang Bingduo⁴

Affiliation:

1. School of Statistics and Data Science, and Key Laboratory of Data Science in Finance and Economics, Jiangxi University of Finance and Economics, Nanchang, China

2. Department of Economics, Tulane University, New Orleans, LA

3. Department of Risk Management and Insurance, Georgia State University, Atlanta, GA

4. School of Finance, Guangdong University of Finance and Economics, Guangzhou, China

Funder

Humanity and Social Science Youth Foundation of Ministry of Education of China

NSF of China

National Social Science Foundation of China

Outstanding Youth Fund Project of the Science and Technology Department of Jiangxi Province

2021 Murphy Seed Grant

SLA Faculty Research Award

Simons Foundation

NSF grant

National Natural Science Foundation of China

Guangdong Basic and Applied Basic Research Foundation

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/01621459.2023.2203354

Reference39 articles.

1. Predictive Regressions: A Reduced-Bias Estimation Method

2. Efficient tests of stock return predictability☆

3. A new robust inference for predictive quantile regression

4. TOWARD A UNIFIED INTERVAL ESTIMATION OF AUTOREGRESSIONS

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