We study the pattern of contagion in volatility along the term structure of oil forwards. We use measures of codependence of returns from quantile regressions to discriminate between integration of the markets for different maturities in the cases of low and high volatility of the returns. Our...

This paper studies the identifying power of conditional quantile restrictions in short panels with fixed effects. In contrast to classical fixed effects models with conditional mean restrictions, conditional quantile restrictions are not preserved by taking differences in the regression equation...

We consider nonparametric estimation of conditional medians for time series data. The time series data are generated from two mutually independent linear processes. The linear processes may show long-range dependence.The estimator of the conditional medians is based on minimizing the locally...