Jean-Yves Pitarakis
Biographic Data
| ID | 8920142 |
|---|---|
| NAME | Jean-Yves Pitarakis |
| GIVEN NAMES | Jean-Yves |
| FAMILY NAME | Pitarakis |
| SIGNATURE | PITARAKIS J |
| AFFILIATIONS | University of Southampton |
| VERIFIED | No |
| TOTAL WORKS | 2 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 2 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2012 |
| LATEST PUBLICATION YEAR | 2017 |
| H-INDEX | 0 |
Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model
We develop tests for detecting possibly episodic predictability induced by a persistent predictor. Our framework is that of a predictive regression model with threshold effects and our goal is to develop operational and easily implementable inferences when one does not wish to impose à priori restrictions on the parameters of the model other than the slopes corresponding to the persistent predictor. Differently put our tests for the null hypothes…
Regime-Specific Predictability in Predictive Regressions
Predictive regressions are linear specifications linking a noisy variable such as stock returns to past values of a very persistent regressor with the aim of assessing the presence of predictability. Key complications that arise are the potential presence of endogeneity and the poor adequacy of asymptotic approximations. In this article, we develop tests for uncovering the presence of predictability in such models when the strength or direction o…
No prominent works on this page.
Regime-Specific Predictability in Predictive Regressions
Predictive regressions are linear specifications linking a noisy variable such as stock returns to past values of a very persistent regressor with the aim of assessing the presence of predictability. Key complications that arise are the potential presence of endogeneity and the poor adequacy of asymptotic approximations. In this article, we develop tests for uncovering the presence of predictability in such models when the strength or direction o…
Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model
We develop tests for detecting possibly episodic predictability induced by a persistent predictor. Our framework is that of a predictive regression model with threshold effects and our goal is to develop operational and easily implementable inferences when one does not wish to impose à priori restrictions on the parameters of the model other than the slopes corresponding to the persistent predictor. Differently put our tests for the null hypothes…
Computer Science (2 works) · Econometrics (2 works) · Economics (2 works) · Financial Risk and Volatility Modeling (2 works) · Mathematics (2 works) · Predictability (2 works) · Regression (2 works) · Statistics (2 works) · Complex Systems and Time Series Analysis (1 work) · Dividend (1 work)