This paper investigates the causal relations between stock return and volume based on quantile regressions. We first define Granger non-causality in all quantiles and propose testing non-causality by a sup-Wald test. Such a test is consistent against any deviation from non-causality in...

This paper investigates the causal relations between stock return and volume based on quantile regressions. We first define Granger non-causality in all quantiles and propose testing non-causality by a sup-Wald test. Such a test is consistent against any deviation from non-causality in...

This paper investigates the causal relations between stock return and volume based on quantile regressions. We first define Granger non-causality in all quantiles and propose testing non-causality by a sup-Wald test. Such a test is consistent against any deviation from non-causality in...

We propose an encompassing test for non-nested linear quantile regression models and show that it has an asymptotic [chi]2 distribution. It is also shown that the proposed test is a regression rank score test in a comprehensive model under conditional homogeneity. Our simulation results indicate...

This study employed the CCR model of Data Envelopment Analysis (DEA) and the slack variable analysis to evaluate the operating efficiency of the domestic banks in Taiwan from 1998 to 2004. The operating efficiency of domestic banks was measured using interest expenses, fixed assets, deposits and...