Zhanyuan Tian

Boston University

595 Commonwealth Avenue

Boston, MA 02215

United States

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Gaussian Rank Correlation and Regression

CEPR Discussion Paper No. DP14914
Number of pages: 57 Posted: 29 Jun 2020
Dante Amengual, Enrique Sentana and Zhanyuan Tian
Centre for Monetary and Financial Studies (CEMFI), Centro de Estudios Monetarios y Financieros (CEMFI) and Boston University
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Abstract:

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Copula, Growth regressions, migration, Misspecification, Momentum, robustness, Short-term reversals