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Estimating Income Distributions From Grouped Data: A Minimum Quantile Distance Approach
This paper focuses on the estimation of income distribution from grouped data in the form of quantiles. We propose a novel application of the minimum...
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Hedge Ratio Variation Under Different Energy Market Conditions: New Evidence by Using Quantile–Quantile Approach
In this research, we investigated the long-run and causal relationships between spot and futures prices of crude oil, natural gas, and gasoline using...
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Race, gender and beauty in instructional ratings: a quantile regression approach
The objective of this paper is to apply quantile regression (QR) to analyze the effect of ascriptive characteristics such as beauty, gender and race...
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Measuring heterogeneity in hospital productivity: a quantile regression approach
This paper focuses on acute-care local public hospitals in Japan and evaluates differences in hospital technology, as reflected in the productivity...
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Spillover effects of disaggregated macroeconomic uncertainties on U.S. real activity: evidence from the quantile vector autoregressive connectedness approach
This paper employs a quantile vector autoregressive approach to compare the extent of connectedness between macroeconomic uncertainty and U.S. real...
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M-Quantile Estimation for GARCH Models
M-regression and quantile methods have been suggested to estimate generalized autoregressive conditionally heteroscedastic (GARCH) models. In this...
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Do geopolitical risks from the economic powers dominate world gold return? Evidence from the quantile connectedness approach
The nexus between gold return and geopolitical risks such as war, terrorism, and tensions between countries is documented in the literature. However,...
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Socio-economic risk factors and wildfire crime in Italy: a quantile panel approach
In this paper, we analyse the socio-economic determinants of environmental crimes such as those focused on wildfire in Italy using panel data at the...
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Zero-Adjusted Log-Symmetric Quantile Regression Models
This paper proposes zero-adjusted log-symmetric quantile regressions to deal with the issue of regression estimation when there are many zeros in the...
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Spatial Market Inefficiency in Housing Market: A Spatial Quantile Regression Approach
This paper empirically tests housing market efficiency in the spatial dimension by using the spatial autoregressive conditional heteroskedastic...
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An empirical assessment of effectiveness of the US tobacco control policies: a smoothed instrumental variables quantile regression approach
A sound understanding of the potency of tobacco control policies is key to tobacco prevention. This study exploits a Smoothed Instrumental Variables...
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Multi-dimensional Panels in Quantile Regression Models
This chapter studies estimation and inference methods for multi-dimensional quantile regression panel data models. First, we discuss the fixed...
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Determinants of Interest rate swap spreads: A quantile regression approach
This paper analyzes whether the determinants of interest rate swap spreads are homogenous along quantiles of conditional interest rate swap spreads....
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Do U.S. economic conditions at the state level predict the realized volatility of oil-price returns? A quantile machine-learning approach
Because the U.S. is a major player in the international oil market, it is interesting to study whether aggregate and state-level economic conditions...
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An empirical investigation of COVID-19 effects on herding behaviour in USA and UK stock markets using a quantile regression approach
This study investigates the effects of the COVID-19 pandemic on herding behaviour among investors in two well-developed markets. Utilizing daily...
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Salience theory value spillovers between China’s systemically important banks: evidence from quantile connectedness
Analyzing the interdependencies among financial institutions is critical for designing systemic risk monitoring mechanisms; however, most existing...
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On asymmetry and quantile estimation of the stochastic frontier model
Quantile regression has become common in applied economic research. Recently, these methods have been adapted for use with the stochastic frontier...
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Market Resilience Unveiled: Insights from Quantile Time Frequency Connectedness into Emerging Countries Stock Indices
This study provides an in-depth analysis of the dynamic connectedness among BRICS-plus stock indices, focusing on three distinct periods:...
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Economic policy uncertainty and green finance: evidence from frequency and quantile aspects
This paper discusses frequency and quantile-varying linkage between economic policy uncertainty (EPU) and green bond index (GBI) using wavelet...
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The second-order bias and mean squared error of quantile regression estimators
The finite sample theory using higher order asymptotics provides better approximations of the bias and mean squared error (MSE) for a class of...