Search Results - subject:"quantile regression."

Bidirectional linkage between inflation and inflation uncertainty – the case of Eastern European countries

Živkov, Dejan; Njegic, Jovan; Pecanac, Marko - In: Baltic Journal of Economics 14 (2014) 1-2, pp. 124-139

inflation uncertainty, the unconditional quantile regression estimation technique has been applied because of its robustness to …

Persistent link: https://www.econbiz.de/10011868490

Foreign Exchange Risk and the Predictability of Carry Trade Returns

Cenedese, Gino; Sarno, Lucio; Tsiakas, Ilias - Rimini Centre for Economic Analysis (RCEA) - 2014

This paper provides an empirical investigation of the time-series predictive ability of foreign exchange risk measures on the return to the carry trade, a popular investment strategy that borrows in low-interest currencies and lends in high-interest currencies. Using quantile regressions, we nd...

Persistent link: https://www.econbiz.de/10010748424

Quantile Regression Analysis on Convergence of Chinaâ€™s Regional Economic Growth

HE, Kun - In: Asian Agricultural Research 06 (2014) 07

Using quantile regression method, this paper made an empirical analysis on convergence of Chinaâ€™s regional economic … growth since the reform and opening-up. It firstly introduced principle of quantile regression method and related theories of … comparative analysis of absolute Î² convergence on 3 stages using least-squares estimation and quantile regression method, and …

Persistent link: https://www.econbiz.de/10011143322

Hedging and Pricing in Imperfect Markets under Non-Convexity

Gospodinov, Nikolay; Assa, Hirbod - Federal Reserve Bank of Atlanta - 2014

This paper proposes a robust 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 for a wide family of risk measures and...

Persistent link: https://www.econbiz.de/10010942126

Efficient Scale of Local Government in China: Quantile Regression Approach to County-Level Data

Fukushige, Mototsugu; Shi, Yingxin - Graduate School of Economics, Osaka University - 2014

We investigate the effects of urban and rural populations and area sizes on the expenditures of the prefecture-level local government. We found the following three results. The first relates to the expenditure for urban populations. At around 220,000 people, per capita local government...

Persistent link: https://www.econbiz.de/10010837068

Do global factors impact BRICS stock markets? A quantile regression approach

Mensi, Walid; Hammoudeh, Shawkat; Reboredo, Juan Carlos; … - Institut de Préparation à l'Administration et à la … - 2014

market uncertainty and the US economic policy uncertainty). Using the quantile regression approach, our results for the …

Persistent link: https://www.econbiz.de/10010754739

Energy prices and CO2 emission allowance prices: A quantile regression approach

Hammoudeh, Shawkat; Nguyen, Duc Khuong; Sousa, Ricardo M. - Institut de Préparation à l'Administration et à la … - 2014

We use a quantile regression framework to investigate the impact of changes in crude oil pric- es, natural gas prices …

Persistent link: https://www.econbiz.de/10010754745

RISK ASSESSMENT UNDER A NONLINEAR FISCAL POLICY RULE

Shiamptanis, Cristos - Department of Economics, School of Business and Economics - 2014

This study revisits the sectoral shifts hypothesis for the US for the period 1948 to 2011. A quantile regression …

Persistent link: https://www.econbiz.de/10010755865

Cross-sectional growth in US cities from 1990 to 2000

González-Val, Rafael - Institut d'Economia de Barcelona (IEB), Facultat … - 2014

This paper analyses the growth of American cities, understood as the growth of the population or of the per capita income, from 1990 to 2000. This empirical analysis uses data from all the cities (incorporated places) with more than 25,000 inhabitants in the year 2000 (1152 cities). The results...

Persistent link: https://www.econbiz.de/10010757445

Purchase and Redemption Decisions of Mutual Fund Investors of Variable Life Insurance-Using Quantile Regression

Wang, Nan-Yu; Chen, Sen-Sung; Huang, Chih-Jen; Yen, … - In: International Journal of Economics and Financial Issues 4 (2014) 4, pp. 714-725

within different group investors by using Quantile regression, we found that insured investors have reflect better …

Persistent link: https://www.econbiz.de/10011273122