Quantile aggregation and combination for stock return prediction

DOI10.1080/07474938.2020.1771902zbMath1490.62321OpenAlexW3036832206MaRDI QIDQ5861021

Zhijie Xiao, Chuanliang Jiang, Esfandiar Maasoumi

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2020.1771902

zbMATH Keywords

aggregationinformationquantile regressionoptimal portfolioinvestmentmodel combinationstock return prediction

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (1)

Econometric Reviews Honors Peter Charles Bonest Phillips, the Master Econometrician

Cites Work

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• Approximately normal tests for equal predictive accuracy in nested models
• Selection of estimation window in the presence of breaks
• EFFICIENT REGRESSIONS VIA OPTIMALLY COMBINING QUANTILE INFORMATION
• Noncrossing quantile regression curve estimation
• Regression Quantiles
• Local Composite Quantile Regression Smoothing: An Efficient and Safe Alternative to Local Polynomial Regression
• Predictable Return Distributions
• Asymptotic Inference about Predictive Ability

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