Hui Tian

Tsinghua University - PBC School of Finance

No. 43, Chengdu Road

Haidian District

Beijing 100083

China

University of Bath - School of Management

Claverton Down

Bath, BA2 7AY

United Kingdom

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Tail-Heaviness, Asymmetry, and Profitability Forecasting by Quantile Regression

Management Science, https://doi.org/10.1287/mnsc.2020.3694
Number of pages: 67 Posted: 27 Jul 2017 Last Revised: 10 Dec 2020
Hui Tian, Andrew Yim and David Newton
Tsinghua University - PBC School of Finance, Cass Business School, City, University of London and University of Bath - School of Management
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Abstract:

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heavy tails, kurtosis, skewness, distributional shape, profitability forecast, quantile regression