Stock Return Autocorrelations Revisited: A Quantile Regression Approach

160 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

The Opportunity Cost of Negative Screening in Socially Responsible Investing (2017, methodology): “literature, we will carry out the median regressions using the Design Bootstrap procedure (Basset and Chen 2001; Baur et al. 2012) with 10,000 replications.”
Stock Market Autoregressive Dynamics: A Multinational Comparative Study with Quantile Regression (2016, background): “[27] only QAR(1)model is considered without specification tests.”
Do global factors impact BRICS stock markets? A quantile regression approach (2014, background): “…(e.g., Adrian and Brunnermeier, 2011) and bankruptcy prediction (e.g., Li and Miu, 2010) and to model dependence between financial variables (e.g., Bassett and Chen, 2001; Chuang et al., 2009; Baur et al., 2012; Lee and Li, 2012; Tsai, 2012; Ciner et al., 2013; Gebka and Wohar, 2013; among others).”