This analysis assesses the role of social capital in generating heterogeneity in growth processes across U.S. counties by estimating growth regressions, using the novel semiparametric smooth coefficient quantile regression method in which parameters are unspecified functions of a measure of...

In this paper, we propose a new semiparametric method for GARCH model by combining the EGARCH (1,1) model and local polynomial regression. Based on the idea of two-stage estimate, a link function is estimated by the local polynomial and then the parameters are obtained via the weighted least...

Intraday data of 26 German stocks are used to investigate whether the information contained in trading volume and number of trades as well as in various specifications of overnight returns can improve one-step-ahead volatility forecasts. For this purpose, a HAR model of the realized range...

In this paper, we produce short term forecasts for the inflation in Turkey, using a large number of econometric models. In particular, we employ univariate models, decomposition based approaches (both in frequency and time domain), a Phillips curve motivated time varying parameter model, a suite...

Volatility forecasting is an important issue in empirical finance. In this paper, the main purpose is to apply the model averaging techniques to reduce volatility model uncertainty and improve volatility forecasting. Six GARCH-type models are considered as candidate models for model averaging....

Using the farm household as a unit of analysis and farm-level data, this study examines the impact of off-farm income on farmland values. In contrast to previous studies that assume a homogeneous relationship across the entire distribution, in this study quantile regression is used to estimate...

This study examines whether mean reversion in REIT prices presents an asymmetric behavior across various quantiles. Distinguished from previous literature that applied the traditional linear unit-root test, a state-of-the-art quantile unit-root test is employed to identify financial asset...

This paper adopts quantile regression to investigate the impact of the 2008 financial crisis on housing prices at difference price levels in China and Taiwan, and employs data from the period July 2005–December 2010. According to the empirical results, the ordinary least squares estimates are...

The last decade has witnessed sharp increases in the price of crude oil. There are two possible explanations for these increases: dramatic increases in financial firms' position in the oil futures market and recent increases in oil prices from changes in economic fundamentals. This paper...

A test for structural break based on quantile regressions (QR) reveals the impact of a break in the tails of the conditional distribution, unveiling an opposite behavior in the tails that balances at the mean and that cannot be found using OLS. By repeatedly computing the QR test it is possible...