Consumption, aggregate wealth and expected stock returns: a quantile cointegration approach

DOI10.1515/snde-2020-0059OpenAlexW3201528453MaRDI QIDQ6039110

Ricardo Quineche

Publication date: 3 May 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2020-0059

zbMATH Keywords

quantile regressionstationarityquantile cointegrationasset return forecasting\textit{cay}

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Statistical Inference in Instrumental Variables Regression with I(1) Processes
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• Quantile cointegrating regression
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• Diagnostic test for structural change in cointegrated regression models
• A CUSUM test for cointegration using regression residuals
• Consumption, aggregate wealth and expected stock returns: an FCVAR approach
• Testing cointegration in quantile regressions with an application to the term structure of interest rates
• Asymptotic Properties of Residual Based Tests for Cointegration
• Regression Quantiles
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• Consumption, aggregate wealth and expected stock returns: a fractional cointegration approach
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Efficient Tests for an Autoregressive Unit Root
• Inference on the Quantile Regression Process
• Unit Root Quantile Autoregression Inference

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