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Pre-Emptive Horizontal Mergers : Theory and Evidence

Molnar, Jozsef - 2007

This paper proposes and tests an explanation as to why rational managers seeking to maximize shareholder value can pursue value-decreasing mergers. It can be optimal to overpay for a target firm and decrease shareholder value if the loss is less than in an alternative where the merger is...

Persistent link: https://www.econbiz.de/10014223569

Use of long-term auctions for network investment

McDaniel, Tanga; Neuhoff, Karsten - 2003

Short-term auctions for access to entry terminals of the British gas-network appear to successfully allocate scarce … resources and capture scarcity rent. Now long-term auctions are being introduced to guide future capacity expansion decisions …-term auctions for transmission capacity are not necessarily preferable to regulatory approved capacity expansion. …

Persistent link: https://www.econbiz.de/10011591157

Heterogeneity and fine wine prices : application of the quantile regression approach

Amédée-Manesme, Charles-Olivier; Faye, Benoît; Le … - In: Applied economics 52 (2020) 26, pp. 2821-2840

Persistent link: https://www.econbiz.de/10012221455

Econometrics of ascending auctions by quantile regression

Sanches, Nathalie Gimenes - In: The review of economics and statistics 99 (2017) 5, pp. 944-953

Persistent link: https://www.econbiz.de/10011781310

Time varying quantile Lasso

Zbonakova, Lenka; Härdle, Wolfgang; Wang, Weining - 2016

In the present paper we study the dynamics of penalization parameter ? of the least absolute shrinkage and selection operator (Lasso) method proposed by Tibshirani (1996) and extended into quantile regression context by Li and Zhu (2008). The dynamic behaviour of the parameter ? can be observed...

Persistent link: https://www.econbiz.de/10011557306

On bootstrap inference for quantile regression panel data : a Monte Carlo study

Galvão Júnior, Antônio Fialho; Montes-Rojas, Gabriel - In: Econometrics : open access journal 3 (2015) 3, pp. 654-666

This paper evaluates bootstrap inference methods for quantile regression panel data models. We propose to construct confidence intervals for the parameters of interest using percentile bootstrap with pairwise resampling. We study three different bootstrapping procedures. First, the bootstrap...

Persistent link: https://www.econbiz.de/10011410652

Early warning signals of financial crises with multi-scale quantile regressions of log-periodic power law singularities

Zhang, Qun; Zhang, Qunzhi; Sornette, Didier - 2015

We augment the existing literature using the Log-Periodic Power Law Singular (LPPLS) structures in the log-price dynamics to diagnose financial bubbles by providing three main innovations. First, we introduce the quantile regression to the LPPLS detection problem. This allows us to disentangle...

Persistent link: https://www.econbiz.de/10011412424

Understanding the effect of measurement error on quantile regressions

Chesher, Andrew - 2017

The impact of measurement error in explanatory variables on quantile regression functions is investigated using a small variance approximation. The approximation shows how the error contaminated and error free quantile regression functions are related. A key factor is the distribution of the...

Persistent link: https://www.econbiz.de/10011644163

FRM: a financial risk meter based on penalizing tail events occurrence

Yu, Lining; Härdle, Wolfgang; Borke, Lukas; Benschop, Thijs - 2017

In this paper we propose a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the penalization parameter () of a linear quantile lasso regression. The FRM is calculated by taking the average of the penalization parameters over the 100 largest US publicly...

Persistent link: https://www.econbiz.de/10011598919

Decentralization estimators for instrumental variable quantile regression models

Kaido, Hiroaki; Wüthrich, Kaspar - 2019

The instrumental variable quantile regression (IVQR) model (Chernozhukov and Hansen, 2005) is a popular tool for estimating causal quantile effects with endogenous covariates. However, estimation is complicated by the non-smoothness and non-convexity of the IVQR GMM objective function. This...

Persistent link: https://www.econbiz.de/10012053040

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