Search Results - subject:"quantile regression"

Diversification and risk-adjusted performance: A quantile regression approach

Lee, Bong Soo; Li, Ming-Yuan Leon - In: Journal of Banking & Finance 36 (2012) 7, pp. 2157-2173

,248 observations of non-financial US firms for the 1997–2009 period employing the quantile regression approach. Our empirical results …

Persistent link: https://www.econbiz.de/10010577950

Quantile regression with aggregated data

Nicoletti, Cheti; Best, Nicky - In: Economics Letters 117 (2012) 2, pp. 401-404

Analyses using aggregated data may bias inference. In this work we show how to aggregate data to avoid or at least reduce this bias when estimating quantile regressions.

Persistent link: https://www.econbiz.de/10010580439

On the severity of economic downturns: Lessons from cross-country evidence

Agnello, Luca; Nerlich, Carolin - In: Economics Letters 117 (2012) 1, pp. 149-155

We measure the severity of recessions as a function of their amplitude and duration. Within a quantile regression …

Persistent link: https://www.econbiz.de/10010580468

Stock returns and inflation: Evidence from quantile regressions

Alagidede, Paul; Panagiotidis, Theodore - In: Economics Letters 117 (2012) 1, pp. 283-286

The relationship between stock returns and inflation is examined for the G7 countries and some positive coefficients in the distribution for Italy and the UK were revealed. A positive one-for-one relationship is found once a GARCH filter is employed in all cases except Canada.

Persistent link: https://www.econbiz.de/10010580482

Banking risk and regulation: Does one size fit all?

Klomp, Jeroen; Haan, Jakob de - In: Journal of Banking & Finance 36 (2012) 12, pp. 3197-3212

Using data for more than 200 banks from 21 OECD countries for the period 2002–2008, we examine the impact of bank regulation and supervision on banking risk using quantile regressions. In contrast to most previous research, we find that banking regulation and supervision has an effect on the...

Persistent link: https://www.econbiz.de/10010580923

An empirical likelihood approach to quantile regression with auxiliary information

Tang, Cheng Yong; Leng, Chenlei - In: Statistics & Probability Letters 82 (2012) 1, pp. 29-36

We consider how to incorporate auxiliary information to improve quantile regression via empirical likelihood. We … quantile regression. The efficiency gain is quantified theoretically and demonstrated empirically via simulation studies. …

Persistent link: https://www.econbiz.de/10010582242

Using quantile regression to examine the effects of inequality across the mortality distribution in the U.S. counties

Yang, Tse-Chuan; Chen, Vivian Yi-Ju; Shoff, Carla; … - In: Social Science & Medicine 74 (2012) 12, pp. 1900-1910

implications of this phenomenon has been mixed. This study employs a rarely used method in mortality research, quantile regression …

Persistent link: https://www.econbiz.de/10010582253

An informative subset-based estimator for censored quantile regression

Tang, Yanlin; Wang, Huixia; He, Xuming; Zhu, Zhongyi - In: TEST: An Official Journal of the Spanish Society of … 21 (2012) 4, pp. 635-655

Quantile regression in the presence of fixed censoring has been studied extensively in the literature. However … obtained by applying standard quantile regression to observations in an informative subset. The proposed method is …

Persistent link: https://www.econbiz.de/10010994317

From the bottom to the top: a more complete picture of the immigrant-native wage gap in Britain

Hunt, Priscillia - In: IZA Journal of Migration 1 (2012) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10010998419

Computing multiple-output regression quantile regions from projection quantiles

Paindaveine, Davy; Šiman, Miroslav - In: Computational Statistics 27 (2012) 1, pp. 29-49

Persistent link: https://www.econbiz.de/10010998436