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Exact inference in long-horizon predictive quantile regressions with an application to stock returns

Gungor, Sermin; Luger, Richard - In: Journal of financial econometrics 19 (2021) 4, pp. 746-788

Persistent link: https://www.econbiz.de/10012654991

Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects

Gungor, Sermin; Luger, Richard - In: Journal of econometrics 218 (2020) 2, pp. 750-770

Persistent link: https://www.econbiz.de/10012483180

Exact permutation tests for non-nested non-linear regression models

Luger, Richard (contributor) - 2004

Persistent link: https://www.econbiz.de/10002750940

A modified CUSUM test for orthogonal structural changes

Luger, Richard - In: Economics letters 73 (2001) 3, pp. 301-306

Persistent link: https://www.econbiz.de/10001635085

Exact permutation tests for non-nested non-linear regression models

Luger, Richard - In: Journal of econometrics 133 (2006) 2, pp. 513-529

Persistent link: https://www.econbiz.de/10003359557

Exact Inference in Predictive Quantile Regressions with an Application to Stock Returns

Gungor, Sermin - 2017

We develop an exact and distribution-free procedure to test for quantile predictability at several quantile levels jointly, while allowing for an endogenous predictive regressor with any degree of persistence. The approach proceeds by combining together the quantile regression t-statistics from...

Persistent link: https://www.econbiz.de/10012946689

Markov-switching quantile autoregression : a Gibbs sampling approach

Liu, Xiaochun; Luger, Richard - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 2, pp. 1-33

Persistent link: https://www.econbiz.de/10011897360