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Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation

Merlo, Luca; Petrella, Lea; Raponi, Valentina - In: Journal of banking & finance 133 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10013256440

Panel cointegration, quantile regressions, asymmetric adjustments and crises : the case of EU current accounts

Coleman, Simeon; Cuestas, Juan Carlos - In: Economic systems 45 (2021) 4, pp. 1-20

Persistent link: https://www.econbiz.de/10013272977

Quantile regression, asset pricing and investment decision

Maiti, Moinak - In: IIMB management review 33 (2021) 1, pp. 28-37

Persistent link: https://www.econbiz.de/10013205183

Quantile selection in non-linear GMM quantile models

Castro, Luciano I. de; Galvão Júnior, Antônio Fialho; … - In: Economics letters 195 (2020), pp. 1-4

Persistent link: https://www.econbiz.de/10012509605

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

Aggregate skewness and the business cycle

Iseringhausen, Martin; Petrella, Ivan; Theodoridis, … - 2021

We develop a data-rich measure of expected macroeconomic skewness in the US economy. Expected macroeconomic skewness is strongly procyclical, mainly reflects the cyclicality in the skewness of real variables, is highly correlated with the cross-sectional skewness of firm-level employment growth,...

Persistent link: https://www.econbiz.de/10013175827