On the serial correlation in multi-horizon predictive quantile regression
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DOI: 10.1016/j.econlet.2021.109736
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More about this item
Keywords
HAR inference; Long horizons; Overlapping observations; Predictive regression; Quantile regression;All these keywords.
JEL classification:
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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