Residual-augmented IVX predictive regression-Reference-Cited by-同舟云学术

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Residual-augmented IVX predictive regression

Published:2020-12 Issue: Volume: Page:
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Demetrescu Matei,Rodrigues Paulo M.M.

Funder

German Research Foundation

Portuguese Science Foundation

POR Lisboa, Germany

POR Norte, Germany

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference55 articles.

1. Modelling volatility by variance decomposition;Amado;J. Econometrics,2013

2. Predictive regressions: A reduced-bias estimation method;Amihud;J. Financ. Quant. Anal.,2004

3. Multiple-predictor regressions: Hypothesis testing;Amihud;Rev. Financ. Stud.,2009

4. Predictive regression with order-p autoregressive predictors;Amihud;J. Empir. Financ.,2010

5. Hedge fund return predictability under the magnifying glass;Avramov;J. Financ. Quant. Anal.,2013

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1. Improved tests for stock return predictability;Econometric Reviews;2023-07-14

2. A Unified Inference for Predictive Quantile Regression;Journal of the American Statistical Association;2023-06-05

3. A New Test on Asset Return Predictability with Structural Breaks;Journal of Financial Econometrics;2023-06-02

4. A new robust inference for predictive quantile regression;Journal of Econometrics;2023-05

5. Testing predictability of stock returns under possible bubbles;Journal of Empirical Finance;2022-09

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