For many applications, analyzing multiple response variables jointly is desirable because of their dependency, and valuable information about the distribution can be retrieved by estimating quantiles. In this paper, we propose a multi-task quantile regression method that exploits the potential...

For many applications, analyzing multiple response variables jointly is desirable because of their dependency, and valuable information about the distribution can be retrieved by estimating quantiles. In this paper, we propose a multi-task quantile regression method that exploits the potential...

A multivariate quantile regression model with a factor structure is proposed to study data with many responses of interest. The factor structure is allowed to vary with the quantile levels, which makes our framework more flexible than the classical factor models. The model is estimated with the...

English Abstract: For the past several years Macau has distributed part of its government surplus to its residents at the end of each fiscal year. This paper analyses the advantages and disadvantages of such a programme, and suggests other ways of efficiently distributing the surplus

This paper examines the cross-border monetary policy spillovers of the US, Japan, the Euro Area, the UK, Canada and China using a quantile vector autoregression (QVAR) model-based spillover estimation approach. We conclude that: first, the US is the most important net transmitter of monetary...

This paper investigates the dynamic changes in the price discovery ability and volatility spillover characteristics in the Chinese stock index futures market as trading rules were loosened step by step. The result shows that as trading restrictions were relaxed, the price discovery ability of...