The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method
Sign Up to like & getrecommendations! Published in 2017 at "Empirical Economics"
DOI: 10.1007/s00181-016-1150-0
Abstract: A recent strand in the literature emphasizes the role of news-based economic policy uncertainty (EPU) and equity market uncertainty (EMU) as drivers of oil price movements. Against this backdrop, this paper uses a kth-order nonparametric… read more here.
Keywords: quantile causality; uncertainty; news based; nonparametric quantile ... See more keywords
Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2019.04.004
Abstract: This paper considers estimation and inference for a weighted average derivative (WAD) of a nonparametric quantile instrumental variables regression (NPQIV). NPQIV is a non-separable and nonlinear ill-posed inverse problem, which might be why there is… read more here.
Keywords: penalized sieve; gel weighted; nonparametric quantile; gel ... See more keywords