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Predicting stock realized variance based on an asymmetric robust regression approach

Zhang, Yaojie; He, Mengxi; Zhao, Yuqi; Hao, Xianfeng - In: Bulletin of economic research 75 (2023) 4, pp. 1022-1047

Persistent link: https://www.econbiz.de/10014435626

A new robust inference for asset return predictability via quantile regression

Cai, Zongwu; Chen, Haiqiang; Liao, Xiaosai - 2020

Persistent link: https://www.econbiz.de/10012203086

Gaussian rank correlation and regression

Amengual, Dante; Sentana, Enrique; Tian, Zhanyuan - 2020

Persistent link: https://www.econbiz.de/10012232995

Gaussian rank correlation and regression

Amengual, Dante; Sentana, Enrique; Tian, Zhanyuan - 2020

Persistent link: https://www.econbiz.de/10012308723

Clarifying the response of gold return to financial indicators : an empirical comparative analysis using ordinary least squares, robust and quantile regressions

Miyazaki, Takashi - In: Journal of risk and financial management : JRFM 12 (2019) 1/33, pp. 1-18

In this study, I apply a quantile regression model to investigate how gold returns respond to changes in various financial indicators. The model quantifies the asymmetric response of gold return in the tails of the distribution based on weekly data over the past 30 years. I conducted a...

Persistent link: https://www.econbiz.de/10012022330