Search Results - subject:"quantile regression"

QUANTILE REGRESSION AS A TOOL FOR PORTFOLIO INVESTMENT DECISIONS DURING TIMES OF FINANCIAL DISTRESS

ALLEN, D. E.; POWELL, R. J.; SINGH, A. K. - In: Annals of Financial Economics (AFE) 06 (2011) 01, pp. 1150003-1

renewed interest in appropriate tools for robust risk management. Quantile regression is a powerful technique and deserves the … tool. In this paper, we present quantile regression estimation as an attractive additional investment tool, which is more … present empirical evidence of the superior capabilities of quantile regression based techniques as applied across the …

Persistent link: https://www.econbiz.de/10010888476

Nonparametric Estimation and Inference on Conditional Quantile Processes

Qu, Zhongjun; Yoon, Jungmo - Department of Economics, Boston University - 2011

We consider the estimation and inference about a nonparametrically specified con- ditional quantile process. For estimation, a two-step procedure is proposed. The first step utilizes local linear regressions and maintains quantile monotonicity through sim- ple inequality constraints. The second...

Persistent link: https://www.econbiz.de/10010779536

The impact of oil price shocks on stock market activities: Asymmetric effect with quantile regression

Lee, Chien-Chiang; Zeng, Jhih-Hong - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 9, pp. 1910-1920

performances. In many cases, quantile regression estimates are quite different from OLS models. These results carry crucial …

Persistent link: https://www.econbiz.de/10010870409

Weak consistency of the Support Vector Machine Quantile Regression approach when covariates are functions

Crambes, Christophe; Gannoun, Ali; Henchiri, Yousri - In: Statistics & Probability Letters 81 (2011) 12, pp. 1847-1858

This paper deals with a nonparametric estimation of conditional quantile regression when the explanatory variable X … Quantile Regression approach in finite dimension with the selected coefficients. Then we establish weak consistency of this …

Persistent link: https://www.econbiz.de/10011039868

The Effects of Equities on Team Performance for Winners and Losers in Nippon Professional Baseball: A Quantile Analysis

Jane, Wen-Jhan; Yi-Pey-Ou; Chen, Sheng-Tung - In: Giornale degli Economisti 70 (2011) 2, pp. 117-138

data of the Nippon Professional Baseball League for the period 1996-2008 and quantile regression are employed to examine …

Persistent link: https://www.econbiz.de/10009370582

Analysing interconnectivity among economies

Wong, Alfred Y-T.; Fong, Tom Pak Wing - In: Emerging Markets Review 12 (2011) 4, pp. 432-442

As international financial integration gathers pace, interconnectivity has increased tremendously among financial institutions, financial markets and financial systems, a phenomenon to which the recent global financial crisis perhaps provided the best testimony. The interconnectivity among...

Persistent link: https://www.econbiz.de/10010574586

Asymmetric inflation dynamics: Evidence from quantile regression analysis

Tsong, Ching-Chuan; Lee, Cheng-Feng - In: Journal of Macroeconomics 33 (2011) 4, pp. 668-680

This paper applies the regression quantile approach developed by Koenker and Xiao (2004) to investigate the dynamic behavior of inflation in 12 OECD countries. By analyzing the behavior in a wide range of quantiles, this method allows us to quantify the influence of various sizes of shocks that...

Persistent link: https://www.econbiz.de/10010574755

Quantile Regression in the Presence of Sample Selection

Huber, Martin; Melly, Blaise - School of Economics and Political Science, Universität … - 2011

the null hypothesis. We propose tests for this crucial restriction that are based on the entire conditional quantile … regression process after correcting for sample selection bias. Monte Carlo simulations demonstrate that they are powerful and two …

Persistent link: https://www.econbiz.de/10008874628

Overweight and poor? On the relationship between income and the body mass index

Jolliffe, Dean - In: Economics & Human Biology 9 (2011) 4, pp. 342-355

nonpoor throughout the last 35 years. The second finding is from a newly introduced estimator, unconditional quantile … regression (UQR), which provides a measure of the income-gradient in BMI at different points on the unconditional BMI …

Persistent link: https://www.econbiz.de/10010577751

A Quantile Analysis of Default Risk for Speculative and Emerging Companies

Allen, David E; Kramadibrata, Akhmad R.; Powell, R. J.; … - School of Business, Edith Cowan University - 2011

Using quantile regression, this article examines default risk of emerging and speculative companies in Australia and … different economic circumstances. Quantile Regression splits the data into parts or quantiles, thus allowing default risk to be …

Persistent link: https://www.econbiz.de/10009421880