We investigate how to measure common risks in the tails of return distributions using the recently proposed panel quantile regression model for financial returns. By exploring how volatility crosses all quantiles of the return distribution and using a fixed effects estimator, we can control for ...
quantile分量模型回归艾兆蕾regression 分量迴歸模型(QuantileRegressionModel) 結構性轉變與門檻模型(StructuralChangeandThresholdModels) 追蹤資料模型(PanelDataModel) 宗旨:推廣財務計量技術之應用。 近年來,財務計量方法之演進至為迅速,不論是在實證研究或是實務 應用上均日益受到重視。特別是在分量迴歸(QuantileRegression...
In this note, we present one such model. We consider a density on the error term such that the resultant log likelihood is equivalent to the objective function of a quantile regression. The objective function is nondifferentiable, and the asymptotic properties of the MLE are not immediately ...
A panel data quantile regression analysis of the impact of corruption on tourism Employing a data set of 62 nations over the period of 1998-2011, we adopt the quantile regression model to provide a broad description of the relationship ... Lv,Zhike,Xu,... - 《Current Issues in Tourism》 ...
Based on provincial panel data from 1995 to 2009 in China,using panel quantile regression model estimate the impact of demographic factors on China's carbon dioxide emissions,the results showed that: Population size and urbanization are the main demographic factors which impact China's carbon dioxide...
Abstract This study examines the impact of foreign direct investments on ecological footprint along with other explanatory variables of 92 countries from the year 2001 to 2016. Here, we applied the panel quantile regression model to meet the purpose of our study as it considers unobserved country ...
The fixed-effects panel regression, the panel quantile regression with fixed effects, and the panel ARDL models are used for empirical analysis. The focus on European economies sets a specific context for the results: the optimal levels of spending may differ across the economies of Europe, the ...
The composite quantile regression should provide estimationefficiency gain over a single quantile regression. In this paper, we extendcomposite quantile re... J Rong,W Qian - 《统计学期刊(英文)》 被引量: 6发表: 2013年 Set identification of the censored quantile regression model for short panels...
We propose a special panel quantile regression model with multiple stochastic change-points to analyze latent structural breaks in the short-term post-offering price–volume relationships in China's growth enterprise market where the piecewise quantile equations are defined by change point indication funct...
(2019) applied the panel quantile regression model and studied the EKC hypothesis in G7 and BRICS countries. They found that the EKC hypothesis is validated only for G-7 countries. Sinha et al. (2019) used the unit root and cointegrations tests and could not find evidence supporting this ...