Bibliografías temáticas / Quantile spillovers

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Literatura académica sobre el tema "Quantile spillovers"

Autor: Grafiati
Publicado: 4 de junio de 2021
Última modificación: 17 de febrero de 2022

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Artículos de revistas sobre el tema "Quantile spillovers"

1

Aldieri, Luigi y Concetto Paolo Vinci. "Quantile Regression for Panel Data: An Empirical Approach for Knowledge Spillovers Endogeneity". International Journal of Economics and Finance 9, n.º 7 (12 de junio de 2017): 106. http://dx.doi.org/10.5539/ijef.v9n7p106.

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The aim of this paper is to investigate the extent to which knowledge spillovers effects are sensitive to different levels of innovation. We develop a theoretical model in which the core of spillover effect is showed and then we implement the empirical model to test for the results. In particular, we run the quantile regression for panel data estimator (Baker, Powell, & Smith, 2016), to correct the bias stemming from the endogenous regressors in a panel data sample. The findings identify a significant heterogeneity of technology spillovers across quantiles: the highest value of spillovers is observed at the lowest quartile of innovation distribution. The results might be interpreted to provide some useful implications for industrial policy strategy.
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2

Shahzad, Syed Jawad Hussain, Mobeen Ur Rehman y Rania Jammazi. "Spillovers from oil to precious metals: Quantile approaches". Resources Policy 61 (junio de 2019): 508–21. http://dx.doi.org/10.1016/j.resourpol.2018.05.002.

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3

Fatima, Syeda Tamkeen. "Absorptive Capacity and FDI Spillovers: Evidence from Quantile Regressions". International Trade Journal 31, n.º 4 (5 de abril de 2017): 360–85. http://dx.doi.org/10.1080/08853908.2017.1301277.

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4

Kosteas, Vasilios D. "Foreign direct investment and productivity spillovers: a quantile analysis". International Economic Journal 22, n.º 1 (marzo de 2008): 25–41. http://dx.doi.org/10.1080/10168730801886929.

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Urom, Christian, Ilyes Abid, Khaled Guesmi y Julien Chevallier. "Quantile spillovers and dependence between Bitcoin, equities and strategic commodities". Economic Modelling 93 (diciembre de 2020): 230–58. http://dx.doi.org/10.1016/j.econmod.2020.07.012.

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Bouri, Elie, Brian Lucey, Tareq Saeed y Xuan Vinh Vo. "Extreme spillovers across Asian-Pacific currencies: A quantile-based analysis". International Review of Financial Analysis 72 (noviembre de 2020): 101605. http://dx.doi.org/10.1016/j.irfa.2020.101605.

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7

Maderitsch, Robert. "Spillovers from the USA to stock markets in Asia: a quantile regression approach". Applied Economics 47, n.º 44 (17 de abril de 2015): 4714–27. http://dx.doi.org/10.1080/00036846.2015.1034839.

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Su, Xianfang. "Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis". North American Journal of Economics and Finance 51 (enero de 2020): 101098. http://dx.doi.org/10.1016/j.najef.2019.101098.

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Chuliá, Helena, Montserrat Guillén y Jorge M. Uribe. "Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis". Emerging Markets Review 31 (junio de 2017): 32–46. http://dx.doi.org/10.1016/j.ememar.2017.01.001.

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Vukovic, Darko, Moinak Maiti, Zoran Grubisic, Elena M. Grigorieva y Michael Frömmel. "COVID-19 Pandemic: Is the Crypto Market a Safe Haven? The Impact of the First Wave". Sustainability 13, n.º 15 (31 de julio de 2021): 8578. http://dx.doi.org/10.3390/su13158578.

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The present study investigated whether the crypto market is a safe haven. The study argues that during the first wave of the COVID-19 crisis, gold and oil, as typical global commodities, could have been diversifiers. The study developed a unique COVID-19 global composite index that measures COVID-19 pandemic time-variant movements on each day. The study used OLS (ordinary least squares), quantile, and robust regressions to check whether the COVID-19 crisis has had any significant direct influence on the crypto market. The OLS, quantile, and robust regressions estimates confirmed that there was no statistically significant direct influence of the COVID-19 crisis on the crypto market in the first wave period. However, the study found spillovers from risky assets (S&P 500) on the crypto market, with Tether as an exception. Due to this special characteristic, Tether might present a safe haven within the crypto market.
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Tesis sobre el tema "Quantile spillovers"

1

Forsström, Viktor y Karl Lind. "The Role of Uncertainty in the Scandinavian Banking Sector". Thesis, Linköpings universitet, Nationalekonomi, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-159670.

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In this thesis we analyse the impact of uncertainty shocks in the Scandinavian banking sector. We apply the spillover approach developed by Diebold and Yilmaz (2009; 2012; 2014), followed by network analysis. Furthermore, the dynamics of uncertainty shocks are examined by applying a quantile regression approach. We study the effects of financial uncertainty, economic policy uncertainty, geopolitical risk and housing market uncertainty on the seven banks Swedbank, Nordea, SEB, Svenska Handelsbanken, DNB, Danske Bank and Jyske Bank. We study these uncertainties on global, regional and local level between 2005 and 2018. We find that the Swedish banks are greater emitters of contagion, compared to the Norwegian and Danish banks, where SEB and Nordea are the banks emitting and receiving the most spillovers. Moreover, the connectedness within the banking sector tend to increase in times of heightened uncertainty, such as during the Global Financial Crisis and the European Sovereign Debt Crisis. Global financial uncertainty is shown to affect the Scandinavian banks the most, followed by regional and local financial uncertainty. The same pattern can be seen for economic policy uncertainty, although at lower levels of spillovers. Reversely, housing market uncertainty is seen to increase going from global, regional to local, where the impact of local housing market uncertainty has a considerable amount of spillovers to the Scandinavian banks. Geopolitical risk is shown to have limited spillovers to the Scandinavian banks. The result of the quantile regressions suggests that financial uncertainty is affecting the banks’ returns negatively during bearish market conditions, whilst the relationship is positive during bullish market conditions. Moreover, we find that financial uncertainty is a quicker transmitter of spillovers than housing market uncertainty. Finally, we conclude that uncertainty shocks affecting the Scandinavian banks negatively tend to take effect instantaneously, while the effects of positive shocks are delayed.
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2

Goulet, Clément. "Signal extractions with applications in finance". Thesis, Paris 1, 2017. http://www.theses.fr/2017PA01E066.

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Le sujet principal de cette thèse est de proposer de nouvelles méthodes d'extractions de signaux avec applications en finance. Par signaux, nous entendons soit un signal sur lequel repose une stratégie d'investissement; soit un signal perturbé par un bruit, que nous souhaitons retrouver. Ainsi, la première partie de la thèse étudie la contagion en volatilité historique autours des annonces de résultats des entreprises du Nasdaq. Nous trouvons qu'autours de l'annonce, l'entreprise reportant ses résultats, génère une contagion persistante en volatilité à l’encontre des entreprises appartenant au même secteur. Par ailleurs, nous trouvons que la contagion en volatilité varie, selon le type de nouvelles reportées, l'effet de surprise, ou encore par le sentiment de marché à l'égard de l'annonceur. La deuxième partie de cette thèse adapte des techniques de dé-bruitage venant de l'imagerie, à des formes de bruits présentent en finance. Ainsi, un premier article, co-écrit avec Matthieu Garcin, propose une technique de dé-bruitage innovante, permettant de retrouver un signal perturbé par un bruit à variance non-constante. Cet algorithme est appliqué en finance à la modélisation de la volatilité. Un second travail s'intéresse au dé-bruitage d'un signal perturbé par un bruit asymétrique et leptokurtique. En effet, nous adaptons un modèle de Maximum A Posteriori, couramment employé en imagerie, à des bruits suivant des lois de probabilité de Student, Gaussienne asymétrique et Student asymétrique. Cet algorithme est appliqué au dé-bruitage de prix d'actions haute-fréquences. L'objectif étant d'appliquer un algorithme de reconnaissance de formes sur les extrema locaux du signal dé-bruité
The main objective of this PhD dissertation is to set up new signal extraction techniques with applications in Finance. In our setting, a signal is defined in two ways. In the framework of investement strategies, a signal is a function which generates buy/sell orders. In denoising theory, a signal, is a function disrupted by some noise, that we want to recover. A first part of this PhD studies historical volatility spillovers around corporate earning announcements. Notably, we study whether a move by one point in the announcer historical volatility in time t will generate a move by beta percents in time t+1. We find evidences of volatility spillovers and we study their intensity across variables such as : the announcement outcome, the surprise effect, the announcer capitalization, the market sentiment regarding the announcer, and other variables. We illustrate our finding by a volatility arbitrage strategy. The second part of the dissertation adapts denoising techniques coming from imagery : wavelets and total variation methods, to forms of noise observed in finance. A first paper proposes an denoising algorithm for a signal disrupted by a noise with a spatially varying standard-deviation. A financial application to volatility modelling is proposed. A second paper adapts the Bayesian representation of the Rudin, Osher and Fatemi approach to asymmetric and leptokurtic noises. A financial application is proposed to the denoising of intra-day stock prices in order to implement a pattern recognition trading strategy
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3

Chen, Yung-Shan y 陳永善. "The Spillovers of Manufacture Industry in Taiwan--Quantile Regression". Thesis, 2006. http://ndltd.ncl.edu.tw/handle/72223343326356838114.

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4

Skákala, Norbert. "Přelévá se ekonomická nejistota napříč zeměmi?" Master's thesis, 2020. http://www.nusl.cz/ntk/nusl-412196.

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1 Abstract We study economic policy uncertainty spillovers on a panel of ten countries between April 1998 to September 2019. The analysis is performed on the Economic Policy Uncertainty indices data. To measure the spillovers, we utilize forecast error variance decompositions of VAR model. We found that approximately half of the forecast variance can be explained by spillovers shocks across countries. Further, we disentangle the spillover measure to short-, mid- and long-term cycles using frequency domain. Our results suggest that most of the spillovers are caused by shocks into low frequencies, hence with long persistence. Employing quantile regression on equation-by-equation basis to estimate the VAR model, we find that idiosyncratic uncertainty shocks do not propagate strongly at the median but that powerful spillovers occur in the right tail of distribution. Additionally, we perform rolling window estimates of the spillovers. The results indicate strong variation in time, especially during major geopolitical events, such as Iraq War (2003), Global Financial Crisis (2007-09), European debt crisis (2010-12) or Brexit (2016).
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5

Goulet, Clément. "Signal extractions with applications in finance". Thesis, 2017. http://www.theses.fr/2017PA01E066/document.

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Le sujet principal de cette thèse est de proposer de nouvelles méthodes d'extractions de signaux avec applications en finance. Par signaux, nous entendons soit un signal sur lequel repose une stratégie d'investissement; soit un signal perturbé par un bruit, que nous souhaitons retrouver. Ainsi, la première partie de la thèse étudie la contagion en volatilité historique autours des annonces de résultats des entreprises du Nasdaq. Nous trouvons qu'autours de l'annonce, l'entreprise reportant ses résultats, génère une contagion persistante en volatilité à l’encontre des entreprises appartenant au même secteur. Par ailleurs, nous trouvons que la contagion en volatilité varie, selon le type de nouvelles reportées, l'effet de surprise, ou encore par le sentiment de marché à l'égard de l'annonceur. La deuxième partie de cette thèse adapte des techniques de dé-bruitage venant de l'imagerie, à des formes de bruits présentent en finance. Ainsi, un premier article, co-écrit avec Matthieu Garcin, propose une technique de dé-bruitage innovante, permettant de retrouver un signal perturbé par un bruit à variance non-constante. Cet algorithme est appliqué en finance à la modélisation de la volatilité. Un second travail s'intéresse au dé-bruitage d'un signal perturbé par un bruit asymétrique et leptokurtique. En effet, nous adaptons un modèle de Maximum A Posteriori, couramment employé en imagerie, à des bruits suivant des lois de probabilité de Student, Gaussienne asymétrique et Student asymétrique. Cet algorithme est appliqué au dé-bruitage de prix d'actions haute-fréquences. L'objectif étant d'appliquer un algorithme de reconnaissance de formes sur les extrema locaux du signal dé-bruité
The main objective of this PhD dissertation is to set up new signal extraction techniques with applications in Finance. In our setting, a signal is defined in two ways. In the framework of investement strategies, a signal is a function which generates buy/sell orders. In denoising theory, a signal, is a function disrupted by some noise, that we want to recover. A first part of this PhD studies historical volatility spillovers around corporate earning announcements. Notably, we study whether a move by one point in the announcer historical volatility in time t will generate a move by beta percents in time t+1. We find evidences of volatility spillovers and we study their intensity across variables such as : the announcement outcome, the surprise effect, the announcer capitalization, the market sentiment regarding the announcer, and other variables. We illustrate our finding by a volatility arbitrage strategy. The second part of the dissertation adapts denoising techniques coming from imagery : wavelets and total variation methods, to forms of noise observed in finance. A first paper proposes an denoising algorithm for a signal disrupted by a noise with a spatially varying standard-deviation. A financial application to volatility modelling is proposed. A second paper adapts the Bayesian representation of the Rudin, Osher and Fatemi approach to asymmetric and leptokurtic noises. A financial application is proposed to the denoising of intra-day stock prices in order to implement a pattern recognition trading strategy
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6

Tsai, Chia-Hua y 蔡佳樺. "Quantile Regression Analysis of the Spillover Effect of US-Taiwan Stock Markets". Thesis, 2009. http://ndltd.ncl.edu.tw/handle/95899433451087765416.

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碩士
國立交通大學
經營管理研究所
97
This paper employs quantile regression model to investigate if the price change spillover effect exists from U.S. to Taiwan. We discuss three market segments of Taiwan stock which comprise close-to-open, open-to-close and close-to-close returns respectively. We find that: Firstly, the price change spillover effect exists from U.S. to the close-to-open returns of Taiwan stock market. Furthermore, the price change spillover effect exists when stock price goes up or down greatly from 1995 to 1997. Secondly, the price change spillover effect exists from U.S. to the close-to-close returns of Taiwan stock market. However, there is no price change spillover effect when price goes down greatly and there is even negative effect from U.S. to Taiwan from 1995 to 1997. Thirdly, the overreaction effect exists from U.S. to the open-to-close returns of Taiwan except from 1995 to 1997. The overreaction effect only exists when price goes up or down greatly from 1995 to 1997, and there is no overreaction effect when price goes down greatly in Financial Tsunami.
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7

LIN, CHIH-YI y 林芝儀. "Spillover Effect of Urban Reconstruction from Announcement to Completion on Residential Prices: Application of two-stage Spatial Quantile Regression". Thesis, 2018. http://ndltd.ncl.edu.tw/handle/37q5s8.

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碩士
國立屏東大學
不動產經營學系碩士班
106
Most past studies on urban reconstruction have focused on the differences in residential prices before and after a project's demarcation or completion. However, these studies did not consider the price changes for urban reconstruction projects with long-term time horizons. Moreover, few studies have examined the different effects for different types of price distributions, which may lead to the overestimation of the positive external effect of urban reconstruction. This study analyzed the Taipei City urban reconstruction projects completed by the Urban Regeneration R&D Foundation in 2016. The 12-month housing transaction data for Taipei City over 2008-2017 was collected, and propensity score matching was performed to identify two similar sample groups. Subsequently, the difference-in-difference method was used in conjunction with quantile regression to analyze the spillover effects of urban reconstruction projects on neighboring areas during the various phases of these projects, and to determine whether different housing price distributions had brought about different effects. During this process, the effects of spatial autocorrelation were also taken into account and incorporated into the study's spatial econometric model. The empirical results showed that the effect on housing prices (excepting high-priced units) was positive and statistically significant during the planning and announcement phase. For low-, moderately low-, and mid-priced units, the effect was negative for all phases (planning and announcement phase, construction phase, and post-completion phase), indicating that the spillover effects reported in previous urban reconstruction evaluations might have been overestimated. The empirical results revealed that the effect of the soil liquefaction announcement was negative and statistically significant for residential units in areas with high potential for soil liquefaction. However, after the data on potential soil liquefaction areas was announced, the effect gradually subsided over time. On the other hand, the effect on low-priced housing in high potential areas intensified over time after the announcement.
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Libros sobre el tema "Quantile spillovers"

1

Wang, Yanling. On the quantity and quality of knowledge: The impact of openness and foreign research and development on North-North and North-South technology spillovers. Washington, D.C: World Bank, 2004.

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2

Schiff, Maurice y Yanling Wang. On the Quantity and Quality of Knowledge: The Impact of Openness and Foreign Research and Development on North-North and North-South Technology Spillovers. The World Bank, 2004. http://dx.doi.org/10.1596/1813-9450-3190.

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Capítulos de libros sobre el tema "Quantile spillovers"

1

Chantapacdepong, Pornpinun, Matthias Helble y Naoyuki Yoshino. "An Overview of the Issues and the Book". En Macroeconomic Shocks and Unconventional Monetary Policy, 3–15. Oxford University Press, 2019. http://dx.doi.org/10.1093/oso/9780198838104.003.0001.

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The introduction provides an overview of the book and summarizes its objectives. The book is divided into four parts. The first part provides an overview of the empirics of shock spillovers through trade and financial channels in general. The second part examines the mechanism driving financial spillovers, both price-oriented and quantity-oriented. The third part presents case studies of the implications of spillovers on real economies. The final part outlines implications for monetary policy and macroprudential policy. The objective of this book is to explain how macroeconomic shocks stemming from the global financial crisis and recent unconventional monetary policies in developed economies have affected macroeconomic and financial stability in emerging markets, with a particular focus on Asia. In particular, the book studies the spillover effects of macroeconomic shocks on financial markets and flows in emerging economies and the impact of recent macroeconomic shocks on real economies in emerging markets.
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2

"Quantity Constraints, Spillovers, and the Hahn Process (1978)". En Microeconomics, 110–29. Cambridge University Press, 1999. http://dx.doi.org/10.1017/cbo9780511572180.006.

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Ma, Xinxin y Shi Li. "The Effects of the Minimum-Wage Policy on the Wage Distribution in Urban China". En Changing Trends in China's Inequality, 359–95. Oxford University Press, 2020. http://dx.doi.org/10.1093/oso/9780190077938.003.0012.

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Using the CHIP survey data, this study analyzes the effects of the minimum wage (MW) policy on wage distribution in urban China from 1993 to 2013. Several major conclusions emerge. Ordinary least squares and quantile regression model estimates show that the MW affected both the average wage and the wages of the low-wage groups during 1993–1995, 1998–2002, and 2007–2013, with the greatest effect during the 1993–1995 period. Neumark, Schweitzer, and Wascher model estimates indicate that the change in the MW level affected changes in the wage level for low-wage groups during 1993–1995 and 1998–2002, with the greatest effect during the 1993–1995 period. A difference-in-differences model indicates that even when heterogeneity problems are addressed, the MW considerably affected the wage levels of low-wage groups during all three periods. All of the estimation results reveal the presence of a spillover effect in 1993–1995 but not in 1998–2002 or 2007–2013.
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Actas de conferencias sobre el tema "Quantile spillovers"

1

Hui, Shou. "Research on the Risk Spillover Effect of China's Commercial Banks Based on Quantile Regression". En the International Conference. New York, New York, USA: ACM Press, 2017. http://dx.doi.org/10.1145/3134271.3134297.

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