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Investor attention and cryptocurrency : evidence from wavelet-based quantile Granger causality analysis
Li, Rong; Li, Sufang; Yuan, Di; Zhu, Huiming - In: Research in international business and finance 56 (2021), pp. 1-30
Persistent link: https://www.econbiz.de/10013269441
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A principal component-guided sparse regression approach for the determination of bitcoin returns
Stengos, Thanasēs; Panagiōtidēs, Theodōros; … - 2020
Persistent link: https://www.econbiz.de/10012152311
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A principal component-guided sparse regression approach for the determination of bitcoin returns
Panagiōtidēs, Theodōros; Stengos, Thanasēs; … - In: Journal of risk and financial management : JRFM 13 (2020) 2/33, pp. 1-10
We examine the significance of fourty-one potential covariates of bitcoin returns for the period 2010-2018 (2872 daily observations). The recently introduced principal component-guided sparse regression is employed. We reveal that economic policy uncertainty and stock market volatility are among...
Persistent link: https://www.econbiz.de/10012173752
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Inferring causal interactions in financial markets using conditional Granger causality based on quantile regression
Cheng, Hong; Wang, Yunqing; Wang, Yihong; Yang, Tinggan - In: Computational economics 59 (2022) 2, pp. 719-748
Persistent link: https://www.econbiz.de/10013169042
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Causal inference by quantile regression kink designs
Chiang, Harold D.; Sasaki, Yuya - In: Journal of econometrics 210 (2019) 2, pp. 405-433
Persistent link: https://www.econbiz.de/10012303554
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Multi-valued double robust quantile treatment effect
Furno, Marilena; Caracciolo, Francesco - In: Empirical economics : a journal of the Institute for … 58 (2020) 5, pp. 2545-2571
Persistent link: https://www.econbiz.de/10012256303
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Weak convergence of local quantile treatment effect processes
Kim, Ju Hyun; Park, Byoung Gun - In: Economics letters 162 (2018), pp. 49-52
Persistent link: https://www.econbiz.de/10011939753
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Uniform inference on quantile effects under sharp regression discontinuity designs
Qu, Zhongjun; Yoon, Jungmo - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 625-647
Persistent link: https://www.econbiz.de/10012179002
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Testing for Granger-causality in quantiles
Troster, Victor - In: Econometric reviews 37 (2018) 6/10, pp. 850-866
Persistent link: https://www.econbiz.de/10012040414
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Quantile treatment effect and double robust estimators : an appraisal on the Italian labor market
Caracciolo, Francesco; Furno, Marilena - In: Journal of economic studies 44 (2017) 4, pp. 585-604
Persistent link: https://www.econbiz.de/10011960883