Oil prices, US stock return, and the dependence between their quantiles
N Sim, H Zhou - Journal of Banking & Finance, 2015 - Elsevier
In this article, we examine the relationship between oil prices and US equities by proposing
a novel quantile-on-quantile (QQ) approach to construct estimates of the effect that the …
a novel quantile-on-quantile (QQ) approach to construct estimates of the effect that the …
[图书][B] The Oxford handbook of panel data
BH Baltagi - 2015 - books.google.com
The Oxford Handbook of Panel Data examines new developments in the theory and
applications of panel data. It includes basic topics like non-stationary panels, co-integration …
applications of panel data. It includes basic topics like non-stationary panels, co-integration …
Quantile correlations and quantile autoregressive modeling
In this article, we propose two important measures, quantile correlation (QCOR) and quantile
partial correlation (QPCOR). We then apply them to quantile autoregressive (QAR) models …
partial correlation (QPCOR). We then apply them to quantile autoregressive (QAR) models …
Semiparametric estimation and testing of smooth coefficient spatial autoregressive models
This paper considers a flexible semiparametric spatial autoregressive (mixed-regressive)
model in which unknown coefficients are permitted to be nonparametric functions of some …
model in which unknown coefficients are permitted to be nonparametric functions of some …
Nonparametric estimation and inference on conditional quantile processes
This paper presents estimation methods and asymptotic theory for the analysis of a
nonparametrically specified conditional quantile process. Two estimators based on local …
nonparametrically specified conditional quantile process. Two estimators based on local …
A quantile correlated random coefficients panel data model
We propose a generalization of the linear quantile regression model to accommodate
possibilities afforded by panel data. Specifically, we extend the correlated random …
possibilities afforded by panel data. Specifically, we extend the correlated random …
Does the impact of carbon price determinants change with the different quantiles of carbon prices? Evidence from China ETS pilots
W Chu, S Chai, X Chen, M Du - Sustainability, 2020 - mdpi.com
Since carbon price volatility is critical to the risk management of the CO2 emissions trading
market, research has focused on energy prices and macroeconomic drivers which cause …
market, research has focused on energy prices and macroeconomic drivers which cause …
Robust estimation and variable selection for semiparametric partially linear varying coefficient model based on modal regression
R Zhang, W Zhao, J Liu - Journal of Nonparametric Statistics, 2013 - Taylor & Francis
The semiparametric partially linear varying coefficient models (SPLVCM) are frequently
used in statistical modelling, but most existing methods were built on either the least-square …
used in statistical modelling, but most existing methods were built on either the least-square …
Robust and efficient variable selection for semiparametric partially linear varying coefficient model based on modal regression
W Zhao, R Zhang, J Liu, Y Lv - Annals of the Institute of Statistical …, 2014 - Springer
Semiparametric partially linear varying coefficient models (SPLVCM) are frequently used in
statistical modeling. With high-dimensional covariates both in parametric and nonparametric …
statistical modeling. With high-dimensional covariates both in parametric and nonparametric …