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Assessing the precision of turning point estimates in polynomial regression functions
Plassmann, Florenz; Khanna, Neha - In: Econometric reviews 26 (2007) 5, pp. 503-528
Persistent link: https://www.econbiz.de/10003549303
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Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Steen, Marie; Westgaard, Sjur; Gjølberg, Ole - In: The journal of risk model validation 9 (2015) 2, pp. 49-78
Persistent link: https://www.econbiz.de/10011326305
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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
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A new regression-based tail index estimator
Nicolau, João; Rodrigues, Paulo M. M. - In: The review of economics and statistics 101 (2019) 4, pp. 667-680
Persistent link: https://www.econbiz.de/10012116628
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The volatility-return relationship : insights from linear and non-linear quantile regressions
Allen, David E. (contributor) - 2012
Persistent link: https://www.econbiz.de/10009712040
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Growth regression and counterfactual income dynamics
Desdoigts, Alain - 2000
Persistent link: https://www.econbiz.de/10009611551
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Systemic risk measures and distribution forecasting of macroeconomic shocks
Chen, Guojin; Liu, Yanzhen; Zhang, Yu - In: International review of economics & finance : IREF 75 (2021), pp. 178-196
Persistent link: https://www.econbiz.de/10012692464
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Forecasting the conditional distribution of realized volatility of oil price returns : the role of skewness over 1859 to 2023
Gupta, Rangan; Ji, Qiang; Pierdzioch, Christian; … - In: Finance research letters 58 (2023) 3, pp. 1-9
Persistent link: https://www.econbiz.de/10014631146
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Herding in the crypto market : a diagnosis of heavy distribution tails
Shrotryia, Vijay Kumar; Kalra, Himanshi - In: Review of behavioral finance : RBF 14 (2022) 5, pp. 566-587
Persistent link: https://www.econbiz.de/10013453728
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From rapid decline to high growth : where in the distribution did COVID hit hardest?
Coad, Alexander; Bauer, Péter; Domnick, Clemens; … - In: Journal of small business & enterprise development 30 (2023) 6, pp. 1178-1209
Persistent link: https://www.econbiz.de/10014430429