Predictive quantile regression with persistent covariates: IVX-QR approach

Common risk factors in the returns on stocks and bonds

Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 1993 · 27.7K citations

Business, Economics, Finance +12

Regression Quantiles

Roger Koenker, Gilbert W. Bassett · Econometrica · 1978 · 12.9K citations

Natural Sciences, Biostatistics, Statistics +4

Statistical Inference in Instrumental Variables Regression with I(1) Processes

Peter C.B. Phillips, Bruce E. Hansen · The Review of Economic Studies · 1990 · 4.8K citations

Social Sciences, Economics, Causal Inference +11

A Comprehensive Look at The Empirical Performance of Equity Premium Prediction

Ivo Welch, Amit Goyal · Review of Financial Studies · 2007 · 4.1K citations

Business, Economics, Finance +14

Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?

John Y. Campbell, Samuel B. Thompson · Review of Financial Studies · 2007 · 3K citations · Full text

Business, Economics, Finance +16