Search Results - subject:"quantile regression."

Tail Risk Network Effects in the Cryptocurrency Market during the COVID-19 Crisis

Ren, Rui; Althof, Michael; Härdle, Wolfgang Karl - 2020

Cryptocurrencies are gaining momentum in investor attention, are about to become a new asset class, and may provide a hedging alternative against the risk of devaluation of fiat currencies following the COVID-19 crisis. In order to provide a thorough understanding of this new asset class, risk...

Persistent link: https://www.econbiz.de/10012433272

Quantile Factor Models

Chen, Liang; Dolado, Juan J.; Gonzalo, Jesús - 2020

distributions of observables. We propose a quantile regression approach, labeled Quantile Factor Analysis (QFA), to consistently …

Persistent link: https://www.econbiz.de/10012497771

Heterogeneous effect of health insurance on financial risk: Evidence from two successive surveys in Ghana

Ampaw, Samuel; Appleton, Simon; Lou, Xuyan - 2020

quantile regression allows the insurance effect to differ across the distribution of OOPHE. We further perform separate …

Persistent link: https://www.econbiz.de/10012875979

OPEC news and predictability of energy futures returns and volatility: Evidence from a conditional quantile regression

Derbali, Abdelkader; Wu, Shan; Jamel, Lamia - In: Journal of Economics, Finance and Administrative Science 25 (2020) 50, pp. 239-259

energy futures market returns and volatilities, the authors use a conditional quantile regression methodology during the …

Persistent link: https://www.econbiz.de/10013192179

The impact of education on household income in rural Vietnam

In: International Journal of Financial Studies 8 (2020) 1, pp. 1-9

household income in rural Vietnam. Both mean and quantile regression analyses were employed to analyze the impact of education …. However, quantile regression analysis reveals that the effect of schooling years increases with quantiles, suggesting that …

Persistent link: https://www.econbiz.de/10013200258

Investor sentiment and herding behavior in the Korean stock market

Choi, Ki-hong; Yoon, Seong-min - In: International Journal of Financial Studies 8 (2020) 2, pp. 1-14

Cross-Sectional Absolute Deviation (CSAD) approach and the quantile regression method to capture herding behavior in the … occurs in low-trading volume and low-volatility periods. Second, according to the results of the quantile regression, herding … sentiment and herding behavior is analyzed through regression and quantile regression, and investor sentiment is confirmed to be …

Persistent link: https://www.econbiz.de/10013200281

Loss reserving estimation with correlated run-off triangles in a quantile longitudinal model

Badounas, Ioannis; Pitselis, Georgios - In: Risks 8 (2020) 1, pp. 1-26

correlated run-off triangles that can be embedded within the quantile regression model for longitudinal data. The model proposes …

Persistent link: https://www.econbiz.de/10013200549

Exchange rate, gold price, and stock market nexus: A quantile regression approach

Ali, Rizwan; Mangla, Inayat Ullah; Rehman, Ramiz Ur; … - In: Risks 8 (2020) 3, pp. 1-16

quantile regression approach (2001-2018). Additionally, the sample period is divided into two split samples that cover (2001 …

Persistent link: https://www.econbiz.de/10013200619

Intergenerational transmission of economic success in Austria with a focus on migration and gender

Reiter, Daniel; Palz, Mario Thomas; Kreimer, Margareta - In: Journal for Labour Market Research 54 (2020) 1, pp. 1-20

In this paper, we analyse the intergenerational transmission of economic success in Austria using the European Union Statistics on Income and Living Conditions 2011 dataset (EU-SILC 2011). Starting point of the investigation is a two-step estimation procedure, where we detect a significant...

Persistent link: https://www.econbiz.de/10012518448

Questioning the spatial association between the spread of COVID-19 and transit usage in Italy

Borsati, Mattia; Nocera, Silvio; Percoco, Marco - 2020

Within the much broader framework of global interest, the dilemma concerning the real impact of mode of transport on the spread of COVID-19 has been a priority for transport stakeholders and policy-makers. How dangerous is it to move around a certain territory? Does the danger depend on the mode...

Persistent link: https://www.econbiz.de/10012546061