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Quantile Regression: 40 Years On

Citations

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Cited by:

  1. Lee, Ji Hyung & Linton, Oliver & Whang, Yoon-Jae, 2020. "Quantilograms Under Strong Dependence," Econometric Theory, Cambridge University Press, vol. 36(3), pages 457-487, June.
  2. Chen, Xiaohong & Pouzo, Demian & Powell, James L., 2019. "Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions," Journal of Econometrics, Elsevier, vol. 213(1), pages 30-53.
  3. Fabio Bellini & Ilaria Peri, 2021. "An axiomatization of $\Lambda$-quantiles," Papers 2109.02360, arXiv.org, revised Jan 2022.
  4. Tatsushi Oka & Ken Yamada, 2023. "Heterogeneous Impact of the Minimum Wage: Implications for Changes in Between- and Within-Group Inequality," Journal of Human Resources, University of Wisconsin Press, vol. 58(1), pages 335-362.
  5. Guillen, Montserrat & Bermúdez, Lluís & Pitarque, Albert, 2021. "Joint generalized quantile and conditional tail expectation regression for insurance risk analysis," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 1-8.
  6. Srivastava, Mrinalini & Rao, Amar & Parihar, Jaya Singh & Chavriya, Shubham & Singh, Surendar, 2023. "What do the AI methods tell us about predicting price volatility of key natural resources: Evidence from hyperparameter tuning," Resources Policy, Elsevier, vol. 80(C).
  7. Harding, Matthew & Kettler, Kyle & Lamarche, Carlos & Ma, Lala, 2023. "The (alleged) environmental and social benefits of dynamic pricing," Journal of Economic Behavior & Organization, Elsevier, vol. 205(C), pages 574-593.
  8. Jayeeta Bhattacharya, 2020. "Quantile regression with generated dependent variable and covariates," Papers 2012.13614, arXiv.org.
  9. Tosi, Francesca & Rettaroli, Rosella, 2022. "Intergenerational transmission of dietary habits among Italian children and adolescents," Economics & Human Biology, Elsevier, vol. 44(C).
  10. Sokbae Lee & Yuan Liao & Myung Hwan Seo & Youngki Shin, 2022. "Fast Inference for Quantile Regression with Tens of Millions of Observations," Papers 2209.14502, arXiv.org, revised Oct 2023.
  11. Shahla Akram & Zahid Pervaiz, 2024. "The role of institutions and social inclusion in trust building," Quality & Quantity: International Journal of Methodology, Springer, vol. 58(4), pages 3887-3903, August.
  12. Holly Brannelly & Andrea Macrina & Gareth W. Peters, 2019. "Quantile Diffusions for Risk Analysis," Papers 1912.10866, arXiv.org, revised Sep 2021.
  13. Avinno Faruk, 2021. "Analysing the glass ceiling and sticky floor effects in Bangladesh: evidence, extent and elements," SN Business & Economics, Springer, vol. 1(9), pages 1-23, September.
  14. Valérie Mignon & Jamel Saadaoui, 2022. "Asymmetries in the oil market: Accounting for the growing role of China through quantile regressions," Working Papers of BETA 2022-36, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
  15. Mikael Juselius & Nikola Tarashev, 2020. "Forecasting expected and unexpected losses," BIS Working Papers 913, Bank for International Settlements.
  16. Caselli, Francesca & Wingender, Philippe, 2021. "Heterogeneous effects of fiscal rules: The Maastricht fiscal criterion and the counterfactual distribution of government deficits✰," European Economic Review, Elsevier, vol. 136(C).
  17. Wang, Xuqin & Li, Muyi, 2023. "Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 184(C).
  18. Gareth W. Peters, 2018. "General Quantile Time Series Regressions for Applications in Population Demographics," Risks, MDPI, vol. 6(3), pages 1-47, September.
  19. Shi, Zheng, 2023. "The impact of regional ICT development on job quality of the employee in China," Telecommunications Policy, Elsevier, vol. 47(6).
  20. Rubbaniy, Ghulame & Tee, Kienpin & Iren, Perihan & Abdennadher, Sonia, 2022. "Investors’ mood and herd investing: A quantile-on-quantile regression explanation from crypto market," Finance Research Letters, Elsevier, vol. 47(PA).
  21. Vidal-Llana, Xenxo & Guillén, Montserrat, 2022. "Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  22. Francisco J. Delgado, 2021. "On the Determinants of Fiscal Decentralization: Evidence From the EU," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 23(56), pages 206-206, February.
  23. Hemir da Cunha Santiago & José Carlos da Silva Cavalcanti & Ricardo Bastos Cavalcante Prudêncio & Mohamed A. Mohamed & Leonie Asfora Sarubbo & Attilio Converti & Manoel Henrique da Nóbrega Marinho, 2023. "A Novel Remaining Useful Estimation Model to Assist Asset Renewal Decisions Applied to the Brazilian Electric Sector," Energies, MDPI, vol. 16(6), pages 1-24, March.
  24. Reid, Monique & Siklos, Pierre & Plessis, Stan Du, 2021. "What drives household inflation expectations in South Africa? Demographics and anchoring under inflation targeting," Economic Systems, Elsevier, vol. 45(3).
  25. Anne M. Lausier & Shaleen Jain, 2018. "Diversity in global patterns of observed precipitation variability and change on river basin scales," Climatic Change, Springer, vol. 149(2), pages 261-275, July.
  26. Franzke, Christian L.E., 2021. "Towards the development of economic damage functions for weather and climate extremes," Ecological Economics, Elsevier, vol. 189(C).
  27. Pukkala, Timo, 2022. "Assessing the externalities of timber production," Forest Policy and Economics, Elsevier, vol. 135(C).
  28. Maximilian Buchholz & Harald Bathelt & John A. Cantwell, 0. "Income divergence and global connectivity of U.S. urban regions," Journal of International Business Policy, Palgrave Macmillan, vol. 0, pages 1-20.
  29. Alexander Robitzsch & Oliver Lüdtke, 2022. "Mean Comparisons of Many Groups in the Presence of DIF: An Evaluation of Linking and Concurrent Scaling Approaches," Journal of Educational and Behavioral Statistics, , vol. 47(1), pages 36-68, February.
  30. Fabio Zambuto, 2021. "Quality checks on granular banking data: an experimental approach based on machine learning," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Micro data for the macro world, volume 53, Bank for International Settlements.
  31. D Barrera & S Cr'epey & E Gobet & Hoang-Dung Nguyen & B Saadeddine, 2022. "Statistical Learning of Value-at-Risk and Expected Shortfall," Papers 2209.06476, arXiv.org, revised Sep 2024.
  32. Chen, Zhao & Cheng, Vivian Xinyi & Liu, Xu, 2024. "Hypothesis testing on high dimensional quantile regression," Journal of Econometrics, Elsevier, vol. 238(1).
  33. Rui Evangelista & João Andrade E Silva & Esmeralda A. Ramalho, 2021. "How heterogeneous is the impact of energy efficiency on dwelling prices? Evidence from the application of the unconditional quantile hedonic model to the Portuguese residential market," Working Papers REM 2021/0186, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  34. Chen, Le-Yu & Lee, Sokbae, 2023. "Sparse quantile regression," Journal of Econometrics, Elsevier, vol. 235(2), pages 2195-2217.
  35. Damian Clarke & Manuel Llorca Jaña & Daniel Pailañir, 2023. "The use of quantile methods in economic history," Historical Methods: A Journal of Quantitative and Interdisciplinary History, Taylor & Francis Journals, vol. 56(2), pages 115-132, April.
  36. Ruofan Xu & Jiti Gao & Tatsushi Oka & Yoon-Jae Whang, 2022. "Estimation of Heterogeneous Treatment Effects Using Quantile Regression with Interactive Fixed Effects," Monash Econometrics and Business Statistics Working Papers 13/22, Monash University, Department of Econometrics and Business Statistics.
  37. Niwen Zhou & Xu Guo & Lixing Zhu, 2022. "The role of propensity score structure in asymptotic efficiency of estimated conditional quantile treatment effect," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(2), pages 718-743, June.
  38. Zhou, Hao & Zheng, Mingbo, 2024. "Foreign direct investment and green innovation in China: An examination of quantile regression," Innovation and Green Development, Elsevier, vol. 3(3).
  39. Tao Hu & Baosheng Liang, 2021. "A New Class of Estimators Based on a General Relative Loss Function," Mathematics, MDPI, vol. 9(10), pages 1-19, May.
  40. Mikael Juselius & Nikola Tarashev, 2020. "Forecasting expected and unexpected losses," BIS Working Papers 913, Bank for International Settlements.
  41. Mingshu Li & Bhaskarjit Sarmah & Dhruv Desai & Joshua Rosaler & Snigdha Bhagat & Philip Sommer & Dhagash Mehta, 2024. "Quantile Regression using Random Forest Proximities," Papers 2408.02355, arXiv.org.
  42. Francesca Caselli & Mr. Philippe Wingender, 2018. "Bunching at 3 Percent: The Maastricht Fiscal Criterion and Government Deficits," IMF Working Papers 2018/182, International Monetary Fund.
  43. Maximilian Buchholz & Harald Bathelt & John A. Cantwell, 2020. "Income divergence and global connectivity of U.S. urban regions," Journal of International Business Policy, Palgrave Macmillan, vol. 3(3), pages 229-248, September.
  44. Rita Pimentel & Morten Risstad & Sjur Westgaard, 2022. "Predicting interest rate distributions using PCA & quantile regression," Digital Finance, Springer, vol. 4(4), pages 291-311, December.
  45. Lamarche, Carlos & Shi, Xuan & Young, Derek S., 2024. "Conditional Quantile Functions for Zero-Inflated Longitudinal Count Data," Econometrics and Statistics, Elsevier, vol. 31(C), pages 49-65.
  46. Yingying Jiang & Fuming Lin & Yong Zhou, 2021. "The kth power expectile regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(1), pages 83-113, February.
  47. Aicha Kharazi & Francesco Ravazzolo, 2023. "Regulatory Collateral Requirements and Delinquency Rate in a Two-Agent New Keynesian Model," Working Paper series 23-03, Rimini Centre for Economic Analysis.
  48. Lihua Lei & Emmanuel J. Candès, 2021. "Conformal inference of counterfactuals and individual treatment effects," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 83(5), pages 911-938, November.
  49. Xolani Sibande & Rangan Gupta & Riza Demirer & Elie Bouri, 2023. "Investor Sentiment and (Anti) Herding in the Currency Market: Evidence from Twitter Feed Data," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 24(1), pages 56-72, January.
  50. Westhoff, Leonie & Bukodi, Erzsébet & H. Goldthorpe, John, 2021. "Social Class and Earnings Trajectories in 14 European Countries," INET Oxford Working Papers 2021-17, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
  51. Ahmed, Walid M.A., 2021. "Stock market reactions to upside and downside volatility of Bitcoin: A quantile analysis," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  52. Anthoulla Phella, 2020. "Consistent Specification Test of the Quantile Autoregression," Papers 2010.03898, arXiv.org, revised Jan 2024.
  53. Chong-Chuo Chang & Oshamah Lin Lin & Oshamah Yu-Cheng Chang & Oshamah Kun-Zhan Hsu, 2023. "Impact of Financial Liberalization on Firm Risk," Advances in Decision Sciences, Asia University, Taiwan, vol. 27(3), pages 14-45, September.
  54. repec:zbw:bofrdp:2020_018 is not listed on IDEAS
  55. Wei, Bo & Tan, Kean Ming & He, Xuming, 2024. "Estimation of complier expected shortfall treatment effects with a binary instrumental variable," Journal of Econometrics, Elsevier, vol. 238(2).
  56. Amina Ika Micah, 2022. "Three essays on access to credit and financial shock in Nigeria," Economics PhD Theses 0422, Department of Economics, University of Sussex Business School.
  57. Sulkhan Chavleishvili & Simone Manganelli, 2024. "Forecasting and stress testing with quantile vector autoregression," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(1), pages 66-85, January.
  58. Chen, Zhao & Cheng, Vivian Xinyi & Liu, Xu, 2024. "Reprint: Hypothesis testing on high dimensional quantile regression," Journal of Econometrics, Elsevier, vol. 239(2).
  59. Petrella, Lea & Raponi, Valentina, 2019. "Joint estimation of conditional quantiles in multivariate linear regression models with an application to financial distress," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 70-84.
  60. Sánchez Serrano, Antonio, 2021. "The impact of non-performing loans on bank lending in Europe: An empirical analysis," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
  61. Amalia Álvarez-Benjumea & Fabian Winter, 2020. "The Breakdown of Anti-Racist Norms: A Natural Experiment on Normative Uncertainty after Terrorist Attacks," Discussion Paper Series of the Max Planck Institute for Research on Collective Goods 2020_05, Max Planck Institute for Research on Collective Goods.
  62. Christian L. E. Franzke & Herminia Torelló i Sentelles, 2020. "Risk of extreme high fatalities due to weather and climate hazards and its connection to large-scale climate variability," Climatic Change, Springer, vol. 162(2), pages 507-525, September.
  63. Xianling Ren & Xinping Yu, 2024. "Hedging performance analysis of energy markets: Evidence from copula quantile regression," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(3), pages 432-450, March.
  64. Xu Chen & Surya T. Tokdar, 2021. "Joint quantile regression for spatial data," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 83(4), pages 826-852, September.
  65. Ruofan Xu & Jiti Gao & Tatsushi Oka & Yoon-Jae Whang, 2022. "Quantile Random-Coefficient Regression with Interactive Fixed Effects: Heterogeneous Group-Level Policy Evaluation," Papers 2208.03632, arXiv.org, revised Nov 2024.
  66. Xenxo Vidal-Llana & Carlos Salort Sánchez & Vincenzo Coia & Montserrat Guillen, 2022. ""Non-Crossing Dual Neural Network: Joint Value at Risk and Conditional Tail Expectation estimations with non-crossing conditions"," IREA Working Papers 202215, University of Barcelona, Research Institute of Applied Economics, revised Oct 2022.
  67. D Barrera & S Crépey & E Gobet & Hoang-Dung Nguyen & B Saadeddine, 2024. "Statistical Learning of Value-at-Risk and Expected Shortfall," Working Papers hal-03775901, HAL.
  68. Hatice Jenkins & Ezuldeen Alshareef & Amer Mohamad, 2023. "The impact of corruption on commercial banks' credit risk: Evidence from a panel quantile regression," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1364-1375, April.
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