Given a scalar random variable Y and a random vector X defined on the same probability space, the conditional distribution of Y given X can be represented by either the conditional distribution function or the conditional quantile function. To these equivalent representations correspond two...

Unlike the value at risk, the expected shortfall is a coherent measure of risk. In this paper, we discuss estimation of the expected shortfall of a random variable Yt with special reference to the case when auxiliary information is available in the form of a set of predictors Xt. We consider...

Knowledge of how South Korean firms choose their capital structures has particular value due to the country's specific corporate structure and the role of leverage in the evolution of its financial crisis of 1997. Using a large panel for the years 1992-2001 we investigate the evolution and...

In this work we investigate the causal impact of cost sharing schemes on drug compliance using a Difference-in-Differences approach within a quantile regression framework. We exploit a series of natural experiments occurred in Italy between 2000 and 2010, referring to the introduction of...

In this paper we empirically study the relationship between education attainment and Body Mass Index (BMI), using as theoretical reference an energy balance model. Our data consist of individual level data from eight waves of the Italian survey on life-styles. We use Quantile Regression (QR)...