Search Results - subject:"quantile regression."

Transfer payment structure and local government fiscal efficiency: Evidence from China

Wu, Yongqiu; Huang, Yi; Zhao, Jing; Pu, Yanping - In: China Finance and Economic Review 5 (2017) 12, pp. 1-15

quantile regression method. Results: The theoretical and empirical studies indicate that the tax refund is the most effective …

Persistent link: https://www.econbiz.de/10011985708

Idiosyncratic volatility and stock returns: Indian evidence

Aziz, Tariq; Ansari, Valeed Ahmad - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-20

This paper examines the idiosyncratic volatility (IV) puzzle in the Indian stock market for the period 1999-2014. Univariate and bivariate sorting, as well as cross-section regressions, suggest a positive relation between idiosyncratic volatility and future stock returns. However, this relation...

Persistent link: https://www.econbiz.de/10011988816

Who is sitting next to you? Peer effects inside the classroom

Hong, Sok Chul; Lee, Jungmin - In: Quantitative Economics 8 (2017) 1, pp. 239-275

We examine college students' interaction within classrooms and estimate peer effects on their academic performance. We exploit a unique seating rule at a university in South Korea, known as the fixed-seat system. We propose a novel identification strategy based on students' repeated interaction....

Persistent link: https://www.econbiz.de/10011995489

A robust approach to hedging and pricing in imperfect markets

Assa, Hirbod; Gospodinov, Nikolay - In: Risks 5 (2017) 3, pp. 1-20

This paper proposes a model-free approach to hedging and pricing in the presence of market imperfections such as market incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging strategies with a wide family of risk measures...

Persistent link: https://www.econbiz.de/10011996659

Stress testing German industry sectors: Results from a vine copula based quantile regression

Fischer, Matthias; Kraus, Daniel; Pfeuffer, Marius; … - In: Risks 5 (2017) 3, pp. 1-13

industry sectors as covariates on other response sectors. We identify vine copula based quantile regression as an eligible tool … rather moderate. Moreover, the vine copula based quantile regression approach is benchmarked against both classical linear … quantile regression and expectile regression in order to illustrate its methodological effectiveness in the scenarios evaluated. …

Persistent link: https://www.econbiz.de/10011996661

The effect of access to information and communication technology on household labor income: Evidence from one laptop per child in Uruguay

Marandino, Joaquin; Wunnava, Phanindra V. - In: Economies 5 (2017) 3, pp. 1-10

This paper examines the effect of the One Laptop Per Child program in Uruguay (Plan Ceibal) on household labor income. Since 2007, the Uruguayan government has delivered one laptop to every child and teacher in public primary schools. This program has considerably increased access to information...

Persistent link: https://www.econbiz.de/10012009787

The impact of host language proficiency across the immigrants' earning distribution in Spain

Budría, Santiago; de Ibarreta, Carlos Martinez; … - In: IZA Journal of Development and Migration 7 (2017) 12, pp. 1-27

variable quantile regression approach. The impact is on average roughly 17.2% but varies substantially across the earning …

Persistent link: https://www.econbiz.de/10012012087

FRM: A financial risk meter based on penalizing tail events occurrence

Yu, Lining; Härdle, Wolfgang Karl; Borke, Lukas; … - 2017

In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the penalization parameter () of a linear quantile lasso regression. The FRM is calculated by taking the average of the penalization parameters over the 100 largest US publicly...

Persistent link: https://www.econbiz.de/10011663444

RiskAnalytics: An R package for real time processing of Nasdaq and Yahoo finance data and parallelized quantile lasso regression methods

Borke, Lukas - 2017

quantile regression methods with full solution paths and cluster computing support around the topic "Risk Analytics and FRM". …

Persistent link: https://www.econbiz.de/10011663447

Determinants of obesity in Turkey: A quantile regression analysis from a developing country

Karaoğlan, Hanife Deniz; Tansel, Aysit - 2017

implementing Quantile Regression (QR) methodology. The control factors that we consider are education, labor market outcomes …

Persistent link: https://www.econbiz.de/10011696316