Inference in predictive quantile regressions

Cites Work

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Quantile cointegration in the autoregressive distributed-lag modeling framework
Statistical Inference in Instrumental Variables Regression with I(1) Processes
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
The quantilogram: with an application to evaluating directional predictability
Dynamic quantile models
Quantile cointegrating regression
Asymptotic normality of Powell's kernel estimator
Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects
Predictive quantile regressions under persistence and conditional heteroskedasticity
Testing predictive regression models with nonstationary regressors
Unit root quantile autoregression testing using covariates
A new robust inference for predictive quantile regression
Copula-based nonlinear quantile autoregression
Optimal Inference in Regression Models with Nearly Integrated Regressors
Regression Quantiles
Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter
Nearly Optimal Tests When a Nuisance Parameter Is Present Under the Null Hypothesis
On Confidence Intervals for Autoregressive Roots and Predictive Regression
MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
Efficient Tests for an Autoregressive Unit Root
QUANTILOGRAMS UNDER STRONG DEPENDENCE
Unit Root Quantile Autoregression Inference
Quantile Autoregression
Predictive quantile regression with persistent covariates: IVX-QR approach
HAC Covariance Matrix Estimation in Quantile Regression

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