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. …

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 …

, 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 …

the dependence function (or copula). We then deduce the form of the (invariably nonlinear) conditional quantile …We introduce a general approach to nonlinear quantile regression modelling based on the copula function that defines … quantiles. Econometrica, 46, no. 1: 33-50.) original statement of the quantile regression problem by determining a distribution …

-linear dependence on previous returns. The expected sign of returns tends to reverse after large price movements and trends tend to …