cross-quantilogram methodology. Our analysis yields significant evidence of directional predictability from risk aversion to … patterns in carry trade returns that can be captured via quantile-based predictive models. …

, and inflation hedging to investors. This study employs a quantile autoregression model to investigate the dependence … aggregate effects of the sign and size of returns, business cycles, volatility, and REIT eras on the dependence structure of … daily, weekly, and monthly REIT returns. The study documents asymmetric and misaligned dependence patterns. A bad market …

for quantile sensitivities by means of sample path differentiation. This has led to an intensive search for sample …-path differentiation based estimators for quantile sensitivities. In this paper we present a novel approach to quantile sensitivity … to the parameter of interest. Specifically, we perform a sensitivity analysis of the quantile of the value of a multi …

interval between two quantiles, or in an interval that covers the range of the distribution to the left or right of a quantile …

for the next decade. Wage equations for urban and rural areas estimated by both OLS and quantile regression are the main …