Search
Search Results
-
k-Class instrumental variables quantile regression
With mean instrumental variables regression, k -class estimators have the potential to reduce bias, which is larger with weak instruments. With...
-
Assessing the impact of Russian–Ukrainian geopolitical risks on global green finance: a quantile dependency analysis
In the pursuit of sustainable development, the presence of a robust financial sector plays a crucial role in the advancement of the green movement....
-
Quantile Regression Based Enhanced Indexing with Portfolio Rebalancing
In this article, an enhanced indexing (EI) model is put forward for portfolio selection to optimize a specific quantile of the return distribution of...
-
The long shadow of child labour on adolescent mental health: a quantile approach
This study examines the heterogeneous effect of child labour on adolescent mental health using longitudinal household data from the Indonesia Family...
-
Can ETFs affect U.S. financial stability? A quantile cointegration analysis
This study evaluates whether exchange traded funds (ETFs) threaten financial market stability by testing two hypotheses relating the growing...
-
Quantile relationship between financial development, income, price, CO2 emissions and renewable energy consumption: evidence from Nigeria
One of the solutions to climate change is the adoption and use of renewable energy sources. This understanding has driven Nigerian stakeholders to...
-
Quantile network connectedness between oil, clean energy markets, and green equity with portfolio implications
This study aims to explore the dynamic return and volatility spillover among oil, sectoral clean energy markets, and green equity across different...
-
Measuring productivity dynamics in Japan: a quantile approach
This paper presents an approach for estimating changes in firms’ productivity. We apply the quantile approach, which estimates the changes in the...
-
Stochastic frontier estimation through parametric modelling of quantile regression coefficients
Stochastic frontiers are a very popular tool used to compare production units in terms of efficiency. The parameters of this class of models are...
-
Data Augmentation Based Quantile Regression Estimation for Censored Partially Linear Additive Model
As a common semiparametric mode, the partially linear additive model has flexible structures, and it has been widely used in practice. In this paper,...
-
Bayesian Quantile Regression Analysis for Bivariate Vector Autoregressive Models with an Application to Financial Time Series
To capture the conditional correlations between bivariate financial responses at different quantile levels, this paper considers the Bayesian...
-
Income inequality, economic growth, and structural changes in Egypt: new insights from quantile cointegration approach
Income inequality is an important issue in achieving sustainable growth in develo** economies. However, there is a dearth of studies that examine...
-
Improving Quantile Forecasts via Realized Double Hysteretic GARCH Model in Stock Markets
This research introduces a realized double hysteretic GARCH (R-dhGARCH) model with a skew Student’s t distribution designed to improve quantile...
-
Forecasting VaR and ES by using deep quantile regression, GANs-based scenario generation, and heterogeneous market hypothesis
Value at risk (VaR) and expected shortfall (ES) have emerged as standard measures for detecting the market risk of financial assets and play...
-
Asymmetric effects of global factors on return of cryptocurrencies by novel nonlinear quantile approaches
This study examines the asymmetric effects of global factors on the returns of cryptocurrencies. In this context, the study focuses on Bitcoin,...
-
Penalized Averaging of Quantile Forecasts from GARCH Models with Many Exogenous Predictors
This study explores the multi-step ahead forecasting performance of a so-called hybrid conditional quantile method, which combines relevant...
-
Quantile regression with nonadditive fixed effects
This paper introduces a quantile regression estimator for panel data (QRPD) with nonadditive fixed effects, maintaining the nonseparable disturbance...
-
Quantile Regression and Decomposition Techniques: An Application to Nutritional Demand in India
This chapter discusses the quantile regression technique and elaborates on the computation of parameter estimates in the context of cross-section...
-
Oil prices, labour market adjustment and dynamic quantile connectedness analysis: evidence from Greece during the crisis
This paper examines the spillover effects transmission mechanism between oil prices, oil price uncertainty and oil price volatility on labour market...
-
What drives regional economic inequalities in Tunisia? Evidence from unconditional quantile decomposition analysis
The paper analyzes the urban-rural, littoral-inland, as well as metropolitan-nonmetropolitan inequalities across the entire welfare distribution. It...