Capasso, Marco; Cefis, Elena; Sapio, Sandro - Laboratory of Economics and Management (LEM), Scuola … - 2011
, and in conditional median (i.e. least absolute deviation) autoregressions, but never in high or low quantile … rate distribution and confirm the skewness-size and the variance-size relations. The identified quantile regression … skewness and size. A relationship between quantile regression patterns and previous findings is therefore uncovered. …