Search Results - subject:"quantile regression"

Fighting Corruption when Existing Corruption-Control Levels Count: What do Wealth-Effects Tell us in Africa?

Asongu, Simplice A. - In: Institutions and Economies (formerly known as … 5 (2013) 3, pp. 53-74

Why are some nations more effective at battling corruption than others? Are there different determinants in the fight against corruption across developing nations? Do income-levels matter in the fight against corruption when existing corruption-control levels also matter? In other words, how...

Persistent link: https://www.econbiz.de/10010698192

Dynamite in the EKC tunnel? Inconsistencies in resource stock analysis under the environmental Kuznets curve hypothesis

Mills Busa, Julianne H. - In: Ecological Economics 94 (2013) C, pp. 116-126

Recent studies incorporating consumption into the relationship between GDP and conservation increasingly reveal that economic prosperity does not lead to improvements in environmental quality, even in cases where rich countries may appear to protect a greater proportion of their domestic...

Persistent link: https://www.econbiz.de/10010702889

Forecasting the return distribution using high-frequency volatility measures

Hua, Jian; Manzan, Sebastiano - In: Journal of Banking & Finance 37 (2013) 11, pp. 4381-4403

The aim of this paper is to forecast (out-of-sample) the distribution of financial returns based on realized volatility measures constructed from high-frequency returns. We adopt a semi-parametric model for the distribution by assuming that the return quantiles depend on the realized measures...

Persistent link: https://www.econbiz.de/10010703243

The relationship between carbon dioxide emissions and economic growth: quantile panel-type analysis

Wang, Kuan-Min - In: Quality & Quantity: International Journal of Methodology 47 (2013) 3, pp. 1337-1366

and 1), and 20.3% seeing absolute-decoupling (with an elasticity value of smaller than 0). (2) The quantile regression … developed by Kuznets. (4) According to the results of the quantile regression, the higher the quantiles, the faster and more … the relationship between carbon dioxide emissions and economic growth. It first performs panel data analysis and quantile …

Persistent link: https://www.econbiz.de/10010634189

M-estimation for the partially linear regression model under monotonic constraints

Du, Jiang; Sun, Zhimeng; Xie, Tianfa - In: Statistics & Probability Letters 83 (2013) 5, pp. 1353-1363

In this paper, we study M-estimation for the partially linear model under monotonic constraints. We use monotone B-splines to approximate the monotone nonparametric function. We show the large sample properties of the resulting estimators. The proposed estimator of parameter part is root-n...

Persistent link: https://www.econbiz.de/10010662334

A quantile approach to the power transformed location–scale model

Grace Hong, Hyokyoung - In: Computational Statistics & Data Analysis 63 (2013) C, pp. 50-62

spending and its heteroscedasticity. To address these concerns, the quantile regression model with power transformation has …

Persistent link: https://www.econbiz.de/10010662556

Asymptotic normality for a local composite quantile regression estimator of regression function with truncated data

Wang, Jiang-Feng; Ma, Wei-Min; Zhang, Hui-Zeng; Wen, Li-Min - In: Statistics & Probability Letters 83 (2013) 6, pp. 1571-1579

In this paper, we construct a local linear composite quantile regression (CQR) estimator of regression function for …

Persistent link: https://www.econbiz.de/10010664060

Return distribution predictability and its implications for portfolio selection

Zhu, Min - In: International Review of Economics & Finance 27 (2013) C, pp. 209-223

The inquiries to return predictability are traditionally limited to conditional mean, while literature on portfolio selection is replete with moment-based analysis with up to the fourth moment being considered. This paper develops a distribution-based framework for both return prediction and...

Persistent link: https://www.econbiz.de/10010664330

Causality between trading volume and returns: Evidence from quantile regressions

Gebka, Bartosz; Wohar, Mark E. - In: International Review of Economics & Finance 27 (2013) C, pp. 144-159

indicate no causal link between volume and returns. However, the quantile regression method reveals strong nonlinear causality …

Persistent link: https://www.econbiz.de/10010664341

Money demand in the euro area, the US and the UK: Assessing the role of nonlinearity

Jawadi, Fredj; Sousa, Ricardo M. - In: Economic Modelling 32 (2013) C, pp. 507-515

This paper estimates money demand equations for the euro area, the US and the UK using a quantile regression framework … and a smooth-transition regression. The quantile regression technique highlights that: (i) the income and the interest …

Persistent link: https://www.econbiz.de/10010664394