Quantile Autoregressive Distributed Lag Model with an Application to House Price Returns
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- Galvao Jr, A. F. & Montes-Rojas, G. & Park, S. Y., 2009. "Quantile autoregressive distributed lag model with an application to house price returns," Working Papers 09/04, Department of Economics, City University London.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Lijuan Huo & Tae-Hwan Kim & Yunmi Kim, 2013.
"Testing for Autocorrelation in Quantile Regression Models,"
2013rwp-54, Yonsei University, Yonsei Economics Research Institute.
- Lijuan Huo & Tae-Hwan Kim & Yunmi Kim & Dong Jin Lee, 2014. "Testing for Autocorrelation in Quantile Regression Models," Working papers 2014rwp-76, Yonsei University, Yonsei Economics Research Institute.
- Zhu, Hui-Ming & Li, ZhaoLai & You, WanHai & Zeng, Zhaofa, 2015. "Revisiting the asymmetric dynamic dependence of stock returns: Evidence from a quantile autoregression model," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 142-153.
- Ding, Haoyuan & Kim, Hyung-Gun & Park, Sung Y., 2016. "Crude oil and stock markets: Causal relationships in tails?," Energy Economics, Elsevier, vol. 59(C), pages 58-69.
- Haroon Mumtaz & Paolo Surico, 2015. "The Transmission Mechanism In Good And Bad Times," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56, pages 1237-1260, November.
- Wagner Piazza Gaglianone & Osmani Teixeira de Carvalho Guillén & Francisco Marcos Rodrigues Figueiredo, 2015. "Local Unit Root and Inflationary Inertia in Brazil," Working Papers Series 406, Central Bank of Brazil, Research Department.
- Lee, Chien-Chiang & Lee, Cheng-Feng & Lee, Chi-Chuan, 2014. "Asymmetric dynamics in REIT prices: Further evidence based on quantile regression analysis," Economic Modelling, Elsevier, vol. 42(C), pages 29-37.
- repec:bpj:sndecm:v:22:y:2018:i:2:p:0:n:4 is not listed on IDEAS
- Uwe Hassler & Paulo M.M. Rodrigues & Antonio Rubia, 2016. "Quantile Regression for Long Memory Testing: A Case of Realized Volatility," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(4), pages 693-724.
- repec:eee:jmvana:v:158:y:2017:i:c:p:20-30 is not listed on IDEAS
- repec:vul:omefvu:v:8:y:2017:i:1:id:217 is not listed on IDEAS
- Uwe Hassler & Paulo M.M. Rodrigues & Antonio Rubia, 2016.
"Quantile Regression for Long Memory Testing: A Case of Realized Volatility,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 14(4), pages 693-724.
- Uwe Hassler & Antonio Rubia & Paulo M.M. Rodrigues, 2012. "Quantile regression for long memory testing: A case of realized volatility," Working Papers w201207, Banco de Portugal, Economics and Research Department.
- repec:spr:empeco:v:52:y:2017:i:4:d:10.1007_s00181-016-1114-4 is not listed on IDEAS
- Xu, Qifa & Niu, Xufeng & Jiang, Cuixia & Huang, Xue, 2015. "The Phillips curve in the US: A nonlinear quantile regression approach," Economic Modelling, Elsevier, vol. 49(C), pages 186-197.
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