2 papers
econ.EM2024
Robust Bond Risk Premia Predictability Test in the Quantiles
Xiaosai Liao, Xinjue Li, Qingliang Fan
Different from existing literature on testing the macro-spanning hypothesis of bond risk premia, which only considers mean regressions, this paper investigates whether the yield cu…
stat.ME2024
Robust Inference for Multiple Predictive Regressions with an Application on Bond Risk Premia
Xiaosai Liao, Xinjue Li, Qingliang Fan
We propose a robust hypothesis testing procedure for the predictability of multiple predictors that could be highly persistent. Our method improves the popular extended instrumenta…