Search Results - subject:"quantile regression"

The impact of the 2008 financial crisis on housing prices in China and Taiwan: A quantile regression analysis

Kang, Hsin-Hong; Liu, Shu-Bing - In: Economic Modelling 42 (2014) C, pp. 356-362

This paper adopts quantile regression to investigate the impact of the 2008 financial crisis on housing prices at … results, the ordinary least squares estimates are similar to those achieved from quantile regression. However, the conditional …

Persistent link: https://www.econbiz.de/10010931052

Neighborhood impact of foreclosure: A quantile regression approach

Zhang, Lei; Leonard, Tammy - In: Regional Science and Urban Economics 48 (2014) C, pp. 133-143

This paper uses quantile regression, while accounting for spatial autocorrelation, to examine the simultaneous space … following a foreclosure auction. By using quantile regression, we are able to also investigate changes in the distribution of …

Persistent link: https://www.econbiz.de/10010931318

Public and private sector jobs, unreported income and consumption gap in India: Evidence from micro-data

Saha, Sarani; Roy, Poulomi; Kar, Saibal - In: The North American Journal of Economics and Finance 29 (2014) C, pp. 285-300

This paper documents the wage and consumption gap between private and public sector employees in India. We empirically investigate the wage gap as well as difference in consumption expenditure using household survey from the 2004-05 National Sample Survey of India. Our results show that despite...

Persistent link: https://www.econbiz.de/10010931454

Risk management in life insurance companies: Evidence from Taiwan

Hu, Jin-Li; Yu, Hsueh-E - In: The North American Journal of Economics and Finance 29 (2014) C, pp. 185-199

(2SLS), we also adopt the two-stage quantile regression (2SQR) to capture the effects of low capital (or risk) levels and …

Persistent link: https://www.econbiz.de/10010931466

Do net positions in the futures market cause spot prices of crude oil?

Ding, Haoyuan; Kim, Hyung-Gun; Park, Sung Y. - In: Economic Modelling 41 (2014) C, pp. 177-190

The last decade has witnessed sharp increases in the price of crude oil. There are two possible explanations for these increases: dramatic increases in financial firms' position in the oil futures market and recent increases in oil prices from changes in economic fundamentals. This paper...

Persistent link: https://www.econbiz.de/10010933340

Estimation and test procedures for composite quantile regression with covariates missing at random

Ning, Zijun; Tang, Linjun - In: Statistics & Probability Letters 95 (2014) C, pp. 15-25

In this paper, we study the weighted composite quantile regression (WCQR) for general linear model with missing …

Persistent link: https://www.econbiz.de/10010939467

Currency demand, new technology, and the adoption of electronic money: Micro evidence from Japan

Fujiki, Hiroshi; Tanaka, Migiwa - In: Economics Letters 125 (2014) 1, pp. 5-8

Japan under an Instrumental Quantile Regression framework. Contrary to theoretical predictions, our results suggest that …

Persistent link: https://www.econbiz.de/10010939506

Measuring and testing for the systemically important financial institutions

Castro, Carlos; Ferrari, Stijn - In: Journal of Empirical Finance 25 (2014) C, pp. 1-14

This paper analyzes ΔCoVaR proposed by Adrian and Brunnermeier (2011) as a tool for identifying/ranking systemically important institutions. We develop a test of significance of ΔCoVaR that allows determining whether or not a financial institution can be classified as being systemically...

Persistent link: https://www.econbiz.de/10011042127

The effects of news events on market contagion: Evidence from the 2007–2009 financial crisis

Chevapatrakul, Thanaset; Tee, Kai-Hong - In: Research in International Business and Finance 32 (2014) C, pp. 83-105

In this paper, we use the quantile regression technique along with coexceedance, a contagion measure, to assess the …

Persistent link: https://www.econbiz.de/10011043148

Is there an informal employment wage premium? Evidence from Tajikistan

Staneva, Anita; Arabsheibani, G - In: IZA Journal of Labor & Development 3 (2014) 1, pp. 1-24

J21; J23; J24; J31 </AbstractSection> Copyright Staneva and Arabsheibani; licensee Springer. 2014

Persistent link: https://www.econbiz.de/10011001810