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

Mensi, Walid; Hammoudeh, Shawkat; Reboredo, Juan Carlos; … - In: Emerging Markets Review 19 (2014) C, pp. 1-17

This paper examines the dependence structure between the emerging stock markets of the BRICS countries and influential … that the BRICS stock markets exhibit dependence with the global stock and commodity markets (S&P index, oil, and gold) as … well as changes in the U.S. stock market uncertainty (CBOE Volatility Index). This dependence structure is often asymmetric …

Persistent link: https://www.econbiz.de/10010785354

Do global factors impact BRICS stock markets? : a quantile regression approach

Mensi, Walid; Hammoudeh, Shawkat; Reboredo, Juan Carlos; … - In: Emerging markets review 19 (2014), pp. 1-17

Persistent link: https://www.econbiz.de/10010418057

A quantile regression approach to evaluate the relative impact of global and local factors on the MENA stock markets

Bahloul, Slah; Ben Amor, Nawel - In: International journal of emerging markets 17 (2022) 10, pp. 2763-2786

Persistent link: https://www.econbiz.de/10014332070

Dependent relationships between Chinese commodity markets and the international financial market : evidence from quantile time-frequency analysis

Zhu, Huiming; Meng, Liang; Ge, Yajing; Hau, Liya - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-31

Persistent link: https://www.econbiz.de/10012664544

Conditional density forecast of China's energy demand via QRNN model

Cao, Shubo; Xu, Qifa; Jiang, Cuixia; He, Yaoyao - In: Applied economics letters 25 (2018) 12, pp. 867-875

Persistent link: https://www.econbiz.de/10012130465

Internet use and agricultural productivity: Evidence from rural Vietnam

Nguyen, Thanh Tung; Nguyen, Trung Thanh; Grote, Ulrike - 2023

The use of the internet is growing rapidly and has become an engine for economic development. However, few studies have examined the impact of internet use on agricultural production, and the results are not yet conclusive. Employing a dataset of more than 2,000 observations in rural Vietnam,...

Persistent link: https://www.econbiz.de/10014476343

Modelling systemic risk using neural network quantile regression

Keilbar, Georg; Wang, Weining - In: Empirical Economics 62 (2021) 1, pp. 93-118

We propose a novel approach to calibrate the conditional value-at-risk (CoVaR) of financial institutions based on neural network quantile regression. Building on the estimation results, we model systemic risk spillover effects in a network context across banks by considering the marginal effects...

Persistent link: https://www.econbiz.de/10014497542

Robust Estimation of Wage Dispersion with Censored Data: An Application to Occupational Earnings Risk and Risk Attitudes

Pollmann, Daniel; Dohmen, Thomas; Palm, Franz - In: De Economist 168 (2020) 4, pp. 519-540

We present a semiparametric method to estimate group-level dispersion, which is particularly effective in the presence of censored data. We apply this procedure to obtain measures of occupation-specific wage dispersion using top-coded administrative wage data from the German IAB Employment...

Persistent link: https://www.econbiz.de/10014503444

Quantile regression with an endogenous misclassified binary regressor

Lamarche, Carlos - 2023

Recent work on the conditional mean model offers the possibility of addressing misreporting of participation in social programs, which is common and has increased in all major surveys. However, researchers who employ quantile regression continue to encounter challenges in terms of estimation and...

Persistent link: https://www.econbiz.de/10014518158

Intergenerational Top Income Mobility in Sweden: Capitalist Dynasties in the Land of Equal Opportunity?

Björklund, Anders; Roine, Jesper; Waldenström, Daniel - 2008

This paper presents new evidence on intergenerational mobility in the top of the income and earnings distribution. Using a large dataset of matched father-son pairs in Sweden, we find that intergenerational transmission is very strong in the top, more so for income than for earnings. In the...

Persistent link: https://www.econbiz.de/10010320406