This paper investigates the causal relations between stock return and volume based on quantile regressions. We first define Granger non-causality in all quantiles and propose testing non-causality by a sup-Wald test. Such a test is consistent against any deviation from non-causality in...

This paper investigates the causal relations between stock return and volume based on quantile regressions. We first define Granger non-causality in all quantiles and propose testing non-causality by a sup-Wald test. Such a test is consistent against any deviation from non-causality in...

This paper investigates the causal relations between stock return and volume based on quantile regressions. We first define Granger non-causality in all quantiles and propose testing non-causality by a sup-Wald test. Such a test is consistent against any deviation from non-causality in...

We propose an encompassing test for non-nested linear quantile regression models and show that it has an asymptotic [chi]2 distribution. It is also shown that the proposed test is a regression rank score test in a comprehensive model under conditional homogeneity. Our simulation results indicate...

This study examined the mediation effect of gross domestic product (GDP) on the relationship between life expectancy and income inequality based on data from 23 Organisation for Economic Co-operation and Development (OECD) countries for 2004 through 2014. To form a theoretical framework, Preston...