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Unified Inference for Dynamic Quantile Predictive Regression

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  • Christis Katsouris

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.

Suggested Citation

  • Christis Katsouris, 2023. "Unified Inference for Dynamic Quantile Predictive Regression," Papers 2309.14160, arXiv.org, revised Nov 2023.
    • Handle: RePEc:arx:papers:2309.14160
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