For predictive quantile regressions with highly persistent regressors, a conventional test statistic suffers from a serious size distortion and its limiting distribution relies on the unknown persistence degree of predictors. This paper proposes a double-weighted approach to offer a robust...

We study estimation and inference of Expected Shortfall (ES) for time series with Infinite variance. The rate of convergence is determined by the tail thickness parameter and the limiting distribution is in the stable class with parameters depending on the tail thickness parameter of the time...