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Quantile regression for long memory testing : a case of realized volatility

Hassler, Uwe; Rodrigues, Paulo M. M.; Rubia, Antonio - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 693-724

Persistent link: https://www.econbiz.de/10011623824

Asymptotic distributions for regression-based seasonal unit root tests in a near-integrated model

Rodrigues, Paulo M. M.; Taylor, Robert - 2003

Persistent link: https://www.econbiz.de/10001772443

Tests of no cross-sectional error dependence in panel quantile regressions

Demetrescu, Matei; Hosseinkouchack, Mehdi; Rodrigues, … - 2023

This paper argues that cross-sectional dependence (CSD) is an indicator of misspecification in panel quantile regression (QR) rather than just a nuisance that may be accounted for with panel-robust standard errors. This motivates the development of a novel test for panel QR misspecification...

Persistent link: https://www.econbiz.de/10014366629

A new regression-based tail index estimator

Nicolau, João; Rodrigues, Paulo M. M. - In: The review of economics and statistics 101 (2019) 4, pp. 667-680

Persistent link: https://www.econbiz.de/10012116628

Testing for episodic predictability in stock returns

Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M. - In: Journal of econometrics 227 (2022) 1, pp. 85-113

Persistent link: https://www.econbiz.de/10013441625

Residual-augmented IVX predictive regression

Demetrescu, Matei; Rodrigues, Paulo M. M. - In: Journal of econometrics 227 (2022) 2, pp. 429-460

Persistent link: https://www.econbiz.de/10013442118

Extensions to IVX methods of inference for return predictability

Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M. - In: Journal of econometrics 237 (2023) 2,3, pp. 1-30

Persistent link: https://www.econbiz.de/10014471800

Transformed regression-based long-horizon predictability tests

Demetrescu, Matei; Rodrigues, Paulo M. M.; Taylor, Robert - In: Journal of econometrics 237 (2023) 2,3, pp. 1-37

Persistent link: https://www.econbiz.de/10014471812

On downside risk predictability through liquidity and trading activity : a quantile regression approach

Rubia, Antonio; Sanchis-Marco, Lidia - 2011

Persistent link: https://www.econbiz.de/10009724943

Nonlinear dynamics in discretionary accruals : an analysis of bank loan-loss provisions

Balboa, Marina; López-Espinosa, Germán; Rubia, Antonio - In: Journal of banking & finance 37 (2013) 12, pp. 5186-5207

Persistent link: https://www.econbiz.de/10010343752