Richard Luger

Université Laval

Professor

Université Laval

Département de finance, assurance et immobilier

Quebec City, Quebec

Canada

SCHOLARLY PAPERS

3

DOWNLOADS

109

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Exact Inference in Predictive Quantile Regressions with an Application to Stock Returns

Number of pages: 42 Posted: 02 Oct 2017
Sermin Gungor and Richard Luger
University of Western Ontario and Université Laval
Downloads 47 (506,073)

Abstract:

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Predictability, Quantile regression, Multiple testing, Persistent predictor

Identification-Robust Moment-Based Tests for Markov-Switching in Autoregressive Models

Number of pages: 22 Posted: 01 Jan 2017
Jean-Marie Dufour and Richard Luger
McGill University and Université Laval
Downloads 18 (696,834)

Abstract:

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Mixture distributions, Markov chains, Regime switching, Parametric bootstrap, Monte Carlo tests, Exact inference

Identification-Robust Moment-Based Tests for Markov-Switching in Autoregressive Models

CRREP working paper 2017-01
Number of pages: 22 Posted: 30 Mar 2018 Last Revised: 13 May 2018
Jean-Marie Dufour and Richard Luger
McGill University and Université Laval
Downloads 17 (704,893)

Abstract:

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Mixture distributions, Markov chains, Regime switching, Parametric bootstrap, Monte Carlo tests, Exact inference

3.

Small-Sample Tests for Stock Return Predictability with Possibly Non-Stationary Regressors and GARCH-Type Effects

Number of pages: 57 Posted: 02 Oct 2017
Sermin Gungor and Richard Luger
University of Western Ontario and Université Laval
Downloads 27 (610,887)

Abstract:

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Stock returns, Predictive regression, Multiple predictors, Unit roots