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econ.EM2025
Robust Cauchy-Based Methods for Predictive Regressions
Rustam Ibragimov, Jihyun Kim, Anton Skrobotov
This paper develops robust inference methods for predictive regressions that address key challenges posed by endogenously persistent or heavy-tailed regressors, as well as persiste…
econ.EM2020★ 2 cited
New robust inference for predictive regressions
Rustam Ibragimov, Jihyun Kim, Anton Skrobotov
We propose two robust methods for testing hypotheses on unknown parameters of predictive regression models under heterogeneous and persistent volatility as well as endogenous, pers…