Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Futures Markets"
DOI: 10.1002/fut.22017
Abstract: This paper investigates how realized and option implied volatilities are related to the future quantiles of commodity returns. Whereas realized volatility measures ex-post uncertainty, volatility implied by option prices reveals the market's expectation and is… read more here.
Keywords: panel; estimating predicting; panel quantile; risk ... See more keywords
Adaptive quantile regressions for massive datasets
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DOI: 10.1007/s00362-020-01170-8
Abstract: Analysis of massive datasets is challenging owing to limitations of computer primary memory. Adaptive quantile regressions is a robust and efficient estimation method. For computational efficiency, we propose an adaptive smoothing quantile regressions (ASQR). The… read more here.
Keywords: regressions massive; adaptive quantile; quantile regressions; massive datasets ... See more keywords
Gibrat's Law and quantile regressions : an application to firm growth
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DOI: 10.1016/j.econlet.2017.12.028
Abstract: The nexus between firm growth, size and age in U.S. manufacturing is examined through the lens of quantile regression models. This methodology allows us to overcome serious shortcomings entailed by linear regression models employed by… read more here.
Keywords: gibrat law; law quantile; firm growth; quantile regressions ... See more keywords