This document has not been cited yet.

1. Ando, T. ; Bai, J. Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity. 2020 J. Amer. Statist. Assoc.. 115 266-279

2. Bollerslev, T. Generalized autoregressive conditional heteroskedasticity. 1986 J. Econometrics. 31 307-327

3. Burt, A. ; Hrdlicka, C. Where does the predictability from sorting on returns of economically linked firms come from?. 2021 J. Financ. Quant. Anal.. 56 2634-2658

4. Chen, L. ; Dolado, J.J. ; Gonzalo, J. Quantile factor models. 2021 Econometrica. 89 875-910

5. Christoffersen, P.F. Evaluating interval forecasts. 1998 Internat. Econom. Rev.. 39 841-862
   Paper not yet in RePEc: Add citation now
   

6. Cohen, L. ; Frazzini, A. Economic links and predictable returns. 2008 J. Finance. 63 1977-2011

7. Cornish, E.A. ; Fisher, R.A. Moments and cumulants in the specification of distributions. 1938 Revue de l’Institut international de Statistique. 5 307-320
   Paper not yet in RePEc: Add citation now
   
8. Dittmar, R.F. Nonlinear pricing kernels, kurtosis preference, and evidence from the cross section of equity returns. 2002 J. Finance. 57 369-403
   Paper not yet in RePEc: Add citation now
   

9. Engle, R.F. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. 1982 Econometrica. 50 987-1007

10. Engle, R.F. ; Ferstenberg, R. ; Russell, J. Measuring and modeling execution cost and risk. 2012 J. Portf. Manag.. 38 14-28
    Paper not yet in RePEc: Add citation now
    

11. Engle, R.F. ; Ledoit, O. ; Wolf, M. Large dynamic covariance matrices. 2019 J. Bus. Econom. Statist.. 37 363-375

12. Fama, E.F. ; French, K.R. A five-factor asset pricing model. 2015 J. Financ. Econ.. 116 1-22

13. Fama, E.F. ; French, K.R. Choosing factors. 2018 J. Financ. Econ.. 128 234-252
    Paper not yet in RePEc: Add citation now
    

14. Fama, E.F. ; French, K.R. Common risk factors in the returns on stocks and bonds. 1993 J. Financ. Econ.. 33 3-56

15. Feng, F. ; He, X. ; Wang, X. ; Luo, C. ; Liu, Y. ; Chua, T.-S. Temporal relational ranking for stock prediction. 2019 ACM Trans. Inf. Syst. (TOIS). 37 1-30

16. Galvao, A.F. ; Kato, K. Smoothed quantile regression for panel data. 2016 J. Econometrics. 193 92-112

17. Ghosh, P. ; Neufeld, A. ; Sahoo, J.K. Forecasting directional movements of stock prices for intraday trading using LSTM and random forests. 2022 Finance Res. Lett.. 46 -

18. Giglio, S. ; Kelly, B. ; Xiu, D. Factor models, machine learning, and asset pricing. 2022 Annu. Rev. Finan. Econ.. 14 337-368

19. Gu, S. ; Kelly, B. ; Xiu, D. Autoencoder asset pricing models. 2021 J. Econometrics. 222 429-450

20. Gu, S. ; Kelly, B. ; Xiu, D. Empirical asset pricing via machine learning. 2020 Rev. Financ. Stud.. 33 2223-2273

21. Hansen, B.E. Autoregressive conditional density estimation. 1994 Internat. Econom. Rev.. 35 705-730

22. Härdle, W.K. ; Wang, W. ; Yu, L. TENET: Tail-event driven network risk. 2016 J. Econometrics. 192 499-513

23. Hochreiter, S. ; Schmidhuber, J. Long short-term memory. 1997 Neural Comput.. 9 1735-1780
    Paper not yet in RePEc: Add citation now
    

24. Hou, K. ; Karolyi, G.A. ; Kho, B.-C. What factors drive global stock returns?. 2011 Rev. Financ. Stud.. 24 2527-2574

25. Jondeau, E. ; Rockinger, M. Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements. 2003 J. Econom. Dynam. Control. 27 1699-1737

26. Kato, K. ; Galvao, A.F. ; Montes-Rojas, G.V. Asymptotics for panel quantile regression models with individual effects. 2012 J. Econometrics. 170 76-91

27. Ke, Z.T., Kelly, B.T., Xiu, D., 2019. Predicting returns with text data. Working paper.

28. Kim, H.Y. ; Won, C.H. Forecasting the volatility of stock price index: A hybrid model integrating LSTM with multiple GARCH-type models. 2018 Expert Syst. Appl.. 103 25-37
    Paper not yet in RePEc: Add citation now
    
29. Kingma, D.P., Ba, J., 2015. Adam: A method for stochastic optimization. In: International Conference on Learning Representations.
    Paper not yet in RePEc: Add citation now
    

30. Koenker, R. Quantile regression for longitudinal data. 2004 J. Multivariate Anal.. 91 74-89

31. Koenker, R. ; Bassett, G. Regression quantiles. 1978 Econometrica. 46 33-50

32. Kupiec, P.H. Techniques for verifying the accuracy of risk measurement models. 1995 J. Deriv.. 3 73-84

33. Lee, C.M. ; Sun, S.T. ; Wang, R. ; Zhang, R. Technological links and predictable returns. 2019 J. Financ. Econ.. 132 76-96

34. León, Á. ; Ñíguez, T.M. Modeling asset returns under time-varying semi-nonparametric distributions. 2020 J. Bank. Financ.. 118 -
    Paper not yet in RePEc: Add citation now
    

35. León, Á. ; Rubio, G. ; Serna, G. Autoregresive conditional volatility, skewness and kurtosis. 2005 Q. Rev. Econ. Finance. 45 599-618

36. Lettau, M. ; Pelger, M. Estimating latent asset-pricing factors. 2020 J. Econometrics. 218 1-31

37. Livingston, M. Industry movements of common stocks. 1977 J. Finance. 32 861-874

38. Ma, S. ; Linton, O. ; Gao, J. Estimation and inference in semiparametric quantile factor models. 2021 J. Econometrics. 222 295-323

39. Markowitz, H.M. Portfolio selection. 1952 J. Finance. 7 77-91

40. Pakel, C. ; Shephard, N. ; Sheppard, K. ; Engle, R.F. Fitting vast dimensional time-varying covariance models. 2021 J. Bus. Econom. Statist.. 39 652-668

41. Scott, R.C. ; Horvath, P.A. On the direction of preference for moments of higher order than the variance. 1980 J. Finance. 35 915-919

42. Sharpe, W.F. The sharpe ratio. 1994 J. Portf. Manag.. 21 49-58
    Paper not yet in RePEc: Add citation now
    
43. Socher, R. ; Chen, D. ; Manning, C.D. ; Ng, A. Reasoning with neural tensor networks for knowledge base completion. 2013 En : Burges, C. ; Bottou, L. ; Welling, M. ; Ghahramani, Z. ; Weinberger, K. Advances in Neural Information Processing Systems. Curran Associates, Inc:
    Paper not yet in RePEc: Add citation now
    

44. Xu, X. ; Wang, W. ; Shin, Y. ; Zheng, C. Dynamic network quantile regression model. 2024 J. Bus. Econom. Statist.. 42 407-421

45. Yang, X. ; Zhu, Z. ; Li, D. ; Zhu, K. Asset pricing via the conditional quantile variational autoencoder. 2024 J. Bus. Econom. Statist.. 42 681-694

46. Zhang, N., Zhu, K., 2023. Quantiled conditional variance, skewness and kurtosis by Cornish-Fisher expansion. Working paper.
    Paper not yet in RePEc: Add citation now
    
47. Zheng, Z., Chen, K., Sun, G., Zha, H., 2007. A regression framework for learning ranking functions using relative relevance judgments. In: Proceedings of the 30th Annual International ACM SIGIR Conference on Research and Development in Information Retrieval. pp. 287–294.
    Paper not yet in RePEc: Add citation now
    
48. Zhou, Y. ; Fan, J. ; Xue, L. How much can machines learn finance from Chinese text data?. 2024 Manag. Sci.. -
    Paper not yet in RePEc: Add citation now
    
49. Zhu, X. ; Pan, R. ; Li, G. ; Liu, Y. ; Wang, H. Network vector autoregression. 2017 Ann. Statist.. 45 1096-1123
    Paper not yet in RePEc: Add citation now
    

50. Zhu, X. ; Wang, W. ; Wang, H. ; Härdle, W.K. Network quantile autoregression. 2019 J. Econometrics. 212 345-358

1. A survey-based measure of asymmetric macroeconomic risk in the euro area. (2025). Iseringhausen, Martin ; Theodoridis, Konstantinos.
   In: Working Papers.
   RePEc:stm:wpaper:68.

   Full description at Econpapers || Download paper

2. Bayesian inference for dynamic spatial quantile models with interactive effects. (2025). Bai, Jushan ; Ando, Tomohiro ; Li, Kunpeng ; Song, Yong.
   In: MPRA Paper.
   RePEc:pra:mprapa:123815.

   Full description at Econpapers || Download paper

3. State-dependent pricing of monetary policy nonlinearities and inflation at risk for China. (2025). Xiao, Qiang ; Cao, Honghong ; He, Yongda ; Oxley, Les.
   In: Research in International Business and Finance.
   RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531925000170.

   Full description at Econpapers || Download paper

4. Quantile return connectedness of theme factors and portfolio implications: Evidence from the US and China. (2025). Shi, Huai-Long ; Chen, Huayi.
   In: Global Finance Journal.
   RePEc:eee:glofin:v:64:y:2025:i:c:s1044028325000067.

   Full description at Econpapers || Download paper

5. Monitoring multi-country macroeconomic risk: A quantile factor-augmented vector autoregressive (QFAVAR) approach. (2025). Korobilis, Dimitris ; Schrder, Maximilian.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:249:y:2025:i:pc:s0304407624000769.

   Full description at Econpapers || Download paper

6. Quantile Treatment Effects in High Dimensional Panel Data. (2025). Zheng, LI ; Xu, Yihong.
   In: Papers.
   RePEc:arx:papers:2504.00785.

   Full description at Econpapers || Download paper

7. Bayesian inference for dynamic spatial quantile models with interactive effects. (2025). Bai, Jushan ; Ando, Tomohiro ; Song, Yong ; Li, Kunpeng.
   In: Papers.
   RePEc:arx:papers:2503.00772.

   Full description at Econpapers || Download paper

8. Robust Quantile Factor Analysis. (2025). Feng, Junlong ; Chen, Songnian.
   In: Papers.
   RePEc:arx:papers:2501.15761.

   Full description at Econpapers || Download paper

9. Time-varying relatedness and structural changes among green growth, clean energy innovation, and carbon market amid exogenous shocks: A quantile VAR approach. (2024). Shahzad, Umer ; Si, Kamel ; ben Jabeur, Sami ; Hossain, Mohammad Razib.
   In: Technological Forecasting and Social Change.
   RePEc:eee:tefoso:v:208:y:2024:i:c:s0040162524005031.

   Full description at Econpapers || Download paper

10. Quantile volatility connectedness among themes and sectors: Novel evidence from China. (2024). Shi, Huai-Long ; Zhou, Bin.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:98:y:2024:i:c:s1062976924001431.

    Full description at Econpapers || Download paper

11. Distribution dynamics and quantile dynamic convergence of the digital economy: Prefecture-level evidence in China. (2024). He, Yurun ; Zhang, Dongyang ; Bai, Dingchuan ; Wang, Cao.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924002771.

    Full description at Econpapers || Download paper

12. Quantile time-frequency connectedness analysis between crude oil, gold, financial markets, and macroeconomic indicators: Evidence from the US and EU. (2024). Hamori, Shigeyuki ; Shang, Jin.
    In: Energy Economics.
    RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001816.

    Full description at Econpapers || Download paper

13. Big portfolio selection by graph-based conditional moments method. (2024). Zhu, Zhoufan ; Zhang, Ningning.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000689.

    Full description at Econpapers || Download paper

14. Robust interactive fixed effects. (2024). Boudt, Kris ; Heyndels, Ewoud.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:29:y:2024:i:c:p:206-223.

    Full description at Econpapers || Download paper

15. Scenario-based quantile connectedness of the U.S. interbank liquidity risk network. (2024). Bai, Jushan ; Ando, Tomohiro ; Vojtech, Cindy M ; Lu, Lina.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:244:y:2024:i:2:s0304407624001325.

    Full description at Econpapers || Download paper

16. One Factor to Bind the Cross-Section of Returns. (2024). Borri, Nicola ; Liu, Yukun ; Chetverikov, Denis ; Tsyvinski, Aleh.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:2386.

    Full description at Econpapers || Download paper

17. How have government housing programs affected developers bids in Israel Land Authority land tenders?. (2024). Suhoy, Tanya ; Presman, Natalya.
    In: Bank of Israel Working Papers.
    RePEc:boi:wpaper:2024.08.

    Full description at Econpapers || Download paper

18. Composite Quantile Factor Model. (2024). Huang, Xiao.
    In: Papers.
    RePEc:arx:papers:2308.02450.

    Full description at Econpapers || Download paper

19. Probabilistic Quantile Factor Analysis. (2024). Korobilis, Dimitris ; Schroder, Maximilian.
    In: Papers.
    RePEc:arx:papers:2212.10301.

    Full description at Econpapers || Download paper

20. Common Idiosyncratic Quantile Risk. (2024). Baruník, Jozef ; Nevrla, Matej ; Barunik, Jozef.
    In: Papers.
    RePEc:arx:papers:2208.14267.

    Full description at Econpapers || Download paper

21. Quantile Random-Coefficient Regression with Interactive Fixed Effects: Heterogeneous Group-Level Policy Evaluation. (2024). Whang, Yoon-Jae ; Oka, Tatsushi ; GAO, Jiti ; Xu, Ruofan.
    In: Papers.
    RePEc:arx:papers:2208.03632.

    Full description at Econpapers || Download paper

22. Consistent Specification Test of the Quantile Autoregression. (2024). Phella, Anthoulla.
    In: Papers.
    RePEc:arx:papers:2010.03898.

    Full description at Econpapers || Download paper

23. Monitoring multicountry macroeconomic risk. (2023). Korobilis, Dimitris ; Schroder, Maximilian.
    In: Working Paper series.
    RePEc:rim:rimwps:23-06.

    Full description at Econpapers || Download paper

24. Dynamic Quantile Panel Data Models with Interactive Effects. (2023). shin, yongcheol ; Author-Name, Jia Chen ; Zheng, Chaowen.
    In: Economics Discussion Papers.
    RePEc:rdg:emxxdp:em-dp2023-06.

    Full description at Econpapers || Download paper

25. Monitoring multicountry macroeconomic risk.. (2023). Korobilis, Dimitris ; Schroder, Maximilian.
    In: Working Papers.
    RePEc:gla:glaewp:2023_07.

    Full description at Econpapers || Download paper

26. Frequency domain quantile dependence and connectedness between crude oil and exchange rates: Evidence from oil-importing and exporting countries. (2023). Huang, Zishan ; Li, Shuang ; Zhu, Huiming.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:90:y:2023:i:c:p:1-30.

    Full description at Econpapers || Download paper

27. Toward carbon peaking and neutralization: The heterogeneous stochastic convergence of CO2 emissions and the role of digital inclusive finance. (2023). Tang, Songlin ; Xie, Qichang ; Raza, Muhammad Yousaf ; Bai, Dingchuan ; Ma, DI.
    In: Energy Economics.
    RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003390.

    Full description at Econpapers || Download paper

28. Binary response models for heterogeneous panel data with interactive fixed effects. (2023). GAO, Jiti ; Yan, Yayi ; Liu, Fei ; Peng, Bin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:235:y:2023:i:2:p:1654-1679.

    Full description at Econpapers || Download paper

29. A spatial panel quantile model with unobserved heterogeneity. (2023). Ando, Tomohiro ; Lu, Lina ; Li, Kunpeng.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:232:y:2023:i:1:p:191-213.

    Full description at Econpapers || Download paper

30. Heterogeneous Predictive Association of CO2 with Global Warming. (2023). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang ; Muoz, Jesus Gonzalo ; Ramos, Andrey David.
    In: UC3M Working papers. Economics.
    RePEc:cte:werepe:36451.

    Full description at Econpapers || Download paper

31. Probabilistic Quantile Factor Analysis. (2023). Korobilis, Dimitris ; Schrder, Maximilian.
    In: Working Papers.
    RePEc:bny:wpaper:0117.

    Full description at Econpapers || Download paper

32. Where do they care? The ECB in the media and inflation expectations. (2023). Korobilis, Dimitris ; Schrder, Maximilian.
    In: Working Papers.
    RePEc:bny:wpaper:0116.

    Full description at Econpapers || Download paper

33. Monitoring multicountry macroeconomic risk. (2023). Korobilis, Dimitris ; Schroder, Maximilian.
    In: Working Paper.
    RePEc:bno:worpap:2023_9.

    Full description at Econpapers || Download paper

34. Heterogeneous predictive association of CO2 with global warming. (2023). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang ; Ramos, Andrey.
    In: Economica.
    RePEc:bla:econom:v:90:y:2023:i:360:p:1397-1421.

    Full description at Econpapers || Download paper

35. Monitoring multicountry macroeconomic risk. (2023). Korobilis, Dimitris ; Schroder, Maximilian.
    In: Papers.
    RePEc:arx:papers:2305.09563.

    Full description at Econpapers || Download paper

36. Estimation of Heterogeneous Treatment Effects Using Quantile Regression with Interactive Fixed Effects. (2022). Whang, Yoon-Jae ; Oka, Tatsushi ; GAO, Jiti ; Xu, Ruofan.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2022-13.

    Full description at Econpapers || Download paper

37. Cross-country agricultural TFP convergence and capital deepening: evidence for induced innovation from 17 OECD countries. (2022). Sheng, YU ; Erickson, Kenneth ; Ball, Eldon V ; san Juan, Carlos.
    In: Journal of Productivity Analysis.
    RePEc:kap:jproda:v:58:y:2022:i:2:d:10.1007_s11123-022-00646-z.

    Full description at Econpapers || Download paper

38. Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks. (2022). shin, yongcheol ; Greenwood-Nimmo, Matthew ; Ando, Tomohiro.
    In: Management Science.
    RePEc:inm:ormnsc:v:68:y:2022:i:4:p:2401-2431.

    Full description at Econpapers || Download paper

39. Smoothed Quantile Regression with Factor-Augmented Regularized Variable Selection for High Correlated Data. (2022). Zhang, Yongxia ; Wang, QI ; Tian, Maozai.
    In: Mathematics.
    RePEc:gam:jmathe:v:10:y:2022:i:16:p:2935-:d:888373.

    Full description at Econpapers || Download paper

40. Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity. (2022). Bai, Jushan ; Ando, Tomohiro ; Li, Kunpeng.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:230:y:2022:i:1:p:20-38.

    Full description at Econpapers || Download paper

41. Quantile Factor Models. (2021). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang.
    In: Econometrica.
    RePEc:wly:emetrp:v:89:y:2021:i:2:p:875-910.

    Full description at Econpapers || Download paper

42. Heterogeneity in Manufacturing Growth Risk. (2021). van Dijk, Dick ; Franses, Philip Hans ; Opschoor, Daan.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20210036.

    Full description at Econpapers || Download paper

43. The Convergence Rate of High-Dimensional Sample Quantiles for φ -Mixing Observation Sequences. (2021). Peng, Ling ; Han, Dong.
    In: Mathematics.
    RePEc:gam:jmathe:v:9:y:2021:i:6:p:647-:d:519412.

    Full description at Econpapers || Download paper

44. Measurement of common risks in tails: A panel quantile regression model for financial returns. (2021). Cech, Frantisek ; Baruník, Jozef ; Barunik, Jozef.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:52:y:2021:i:c:s1386418120300318.

    Full description at Econpapers || Download paper

45. Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects. (2021). Peng, Bin ; GAO, Jiti ; Liu, Fei.
    In: Papers.
    RePEc:arx:papers:2012.03182.

    Full description at Econpapers || Download paper

46. Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects. (2020). Gao, Jiti ; Liu, Fei ; Peng, Bin.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2020-44.

    Full description at Econpapers || Download paper

47. A Functional-Coefficient VAR Model for Dynamic Quantiles with Constructing Financial Network. (2020). Cai, Zongwu ; Liu, Xiyuan.
    In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
    RePEc:kan:wpaper:202017.

    Full description at Econpapers || Download paper

48. Quantile Factor Models. (2020). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang.
    In: IZA Discussion Papers.
    RePEc:iza:izadps:dp13870.

    Full description at Econpapers || Download paper

49. Forecasting With Factor-Augmented Quantile Autoregressions: A Model Averaging Approach. (2020). Phella, Anthoulla.
    In: Papers.
    RePEc:arx:papers:2010.12263.

    Full description at Econpapers || Download paper

50. Revisiting Granger Causality of CO2 on Global Warming: a Quantile Factor Approach. (2013). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang ; Ramos, Andrey David.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:35531.

    Full description at Econpapers || Download paper

Report date: 2025-10-03 23:29:30 || Missing content? Let us know