Predictive quantile regression with persistent covariates: IVX-QR approach

By Ji Hyung Lee. 2015

64 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d3208e7012dc607368998874156e2d03e3d84b50

Citations in the corpus

• On LASSO for predictive regression (2018, unknown): “In predictive regressions, Kostakis et al. (2014), Lee (2016) and Phillips and Lee (2013, 2016) provide inferential procedures in the presence of multiple predictors with various degrees of persistence.”