Search Results - subject:"quantile regression."

Uncertainty and Stock Returns in Energy Markets: A Quantile Regression Approach

Cedic, Samir; Mahmoud, Alwan; Manera, Matteo; Uddin, … - 2021

renewable energy and the oil & gas sectors. We use the quantile regression approach developed by Koenker and d’Orey (1987; 1994 …

Persistent link: https://www.econbiz.de/10012501729

Who lost the most? Distributive effects of COVID-19 pandemic

Ainaa, Carmen; Brunetti, Irene; Mussida, Chiara; … - 2021

quantile regression models accounting for selection. First, the findings reveal that the pandemic has affected the wages of the …

Persistent link: https://www.econbiz.de/10012503760

Fan charts 2.0: Flexible forecast distributions with expert judgement

Sokol, Andrej - 2021

I propose a new model, conditional quantile regression (CQR), that generates density forecasts consistent with a … specific view of the future evolution of some variables. This addresses a shortcoming of existing quantile regression …

Persistent link: https://www.econbiz.de/10012819038

The Impact of Shadow Banking on the Financial Stability: Evidence from G20 Countries

Mirjalili, Seyed Hossein; Esfandiary, Marziyeh; Zarei, … - In: Journal of Money and Economy 16 (2021) 2, pp. 237-252

the quantile regression method. The results indicated that shadow banking hurts financial stability (positive impact on …

Persistent link: https://www.econbiz.de/10012819775

Decentralization estimators for instrumental variable quantile regression models

Kaido, Hiroaki; Wüthrich, Kaspar - In: Quantitative Economics 12 (2021) 2, pp. 443-475

The instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen (2005)) is a popular tool for … conventional quantile regression subproblems which are convex and can be solved efficiently. This reformulation leads to new …

Persistent link: https://www.econbiz.de/10013189756

Determinants of poverty in Mexico: A quantile regression analysis

Garza-Rodriguez, Jorge; Ayala-Diaz, Gustavo A.; … - In: Economies 9 (2021) 2, pp. 1-24

Expenditure Survey (ENIGH) 2018, the study estimates a probit model and a quantile regression model to examine the extent to which …

Persistent link: https://www.econbiz.de/10013199798

Applying quantile regression to assess the relationship between R&D, technology import and patent performance in Taiwan

Chuang, Chung-Chu; Tsai, Chung-Min; Chang, Hsiao-Chen; … - In: Journal of Risk and Financial Management 14 (2021) 8, pp. 1-14

in terms of expenditure and intensity. Furthermore, this study used a quantile regression model to visualize the …

Persistent link: https://www.econbiz.de/10013201042

Not your average firm: A quantile regression approach to the firm level investment

Sündal, Doguhan - 2021

fact is significantly different from a firm with modal investment behavior. This study employs a Bayesian quantile … regression model that yields two significant results. First concerning the relative responsiveness of these two neglected factors …

Persistent link: https://www.econbiz.de/10013269253

Aggregate skewness and the business cycle

Iseringhausen, Martin; Petrella, Ivan; Theodoridis, … - 2021

We develop a data-rich measure of expected macroeconomic skewness in the US economy. Expected macroeconomic skewness is strongly procyclical, mainly reflects the cyclicality in the skewness of real variables, is highly correlated with the cross-sectional skewness of firm-level employment growth,...

Persistent link: https://www.econbiz.de/10013272173

Quantiles of growth: Household debt and growth vulnerabilities in Finland

Nyholm, Juho; Voutilainen, Ville - 2021

We analyze the relationship of the distribution of future GDP growth and accumulation of household debt in Finnish macroeconomic data from 1980 to 2019. We find clear evidence that exuberant accumulation of household debt is related to the thickening of the left tail of the future growth...

Persistent link: https://www.econbiz.de/10012544025

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