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Relating quantiles and expectiles under weighted-symmetry

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  • Belkacem Abdous
  • Bruno Remillard

Abstract

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File URL: http://hdl.handle.net/10.1007/BF00773468
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Bibliographic Info

Article provided by Springer in its journal Annals of the Institute of Statistical Mathematics.

Volume (Year): 47 (1995)
Issue (Month): 2 (June)
Pages: 371-384

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Handle: RePEc:spr:aistmt:v:47:y:1995:i:2:p:371-384

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Web page: http://www.springerlink.com/link.asp?id=102845

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Related research

Keywords: Quantiles; expectiles; weighted-symmetry; splitmodels;

References

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  1. Newey, Whitney K & Powell, James L, 1987. "Asymmetric Least Squares Estimation and Testing," Econometrica, Econometric Society, vol. 55(4), pages 819-47, July.
  2. Leffrancois, Pierre, 1989. "Allowing for asymmetry in forecast errors : Results from a Monte-Carlo study," International Journal of Forecasting, Elsevier, vol. 5(1), pages 99-110.
  3. Aigner, D J & Amemiya, Takeshi & Poirier, Dale J, 1976. "On the Estimation of Production Frontiers: Maximum Likelihood Estimation of the Parameters of a Discontinuous Density Function," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 17(2), pages 377-96, June.
  4. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
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Cited by:
  1. Russo, Giovanni & Hassink, Wolter, 2011. "Multiple Glass Ceilings," IZA Discussion Papers 5828, Institute for the Study of Labor (IZA).
  2. Giovanni Russo & Wolter Hassink, 2012. "Multiple Glass Ceilings," Industrial Relations: A Journal of Economy and Society, Wiley Blackwell, vol. 51(4), pages 892-915, October.

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