Predictive Quantile Regressions Under Persistence and Conditional Heteroskedasticity

2017 ◽  
Author(s):  
Rui Fan ◽  
Ji Hyung Lee
Keyword(s):  
Conditional Heteroskedasticity ◽  
Quantile Regressions

Predictive quantile regressions under persistence and conditional heteroskedasticity

2019 ◽  
Vol 213 (1) ◽  
pp. 261-280 ◽  
Author(s):  
Rui Fan ◽  
Ji Hyung Lee
Keyword(s):  
Conditional Heteroskedasticity ◽  
Quantile Regressions

scholarly journals Exchange Rate Volatility and Foreign Direct Investment

2020 ◽  
Vol 12 (3) ◽  
pp. 38
Author(s):  
Samuel Erasmus Alnaa ◽  
Ferdinand Ahiakpor
Keyword(s):  
Foreign Direct Investment ◽  
Exchange Rate ◽  
Interest Rate ◽  
Gross Domestic Product ◽  
Real Exchange Rate ◽  
Direct Investment ◽  
Exchange Rate Volatility ◽  
External Factors ◽  
Conditional Heteroskedasticity ◽  
Data Set

The paper seeks to determine the effect of exchange rate volatility on foreign direct investment in Ghana from 1986 to 2017. The study adopted the Generalized Autoregressive Conditional Heteroskedasticity model to fit the data set from 1986-2017. The results indicate that, previous quarter information can influence current quarter volatility in Foreign Direct Investment. Real exchange rate, gross domestic product and treasure bill rate considered as external factors, are all found to be significant. This shows that, volatility from these factors can spillover to volatility in foreign direct investment.  To ensure stable inflow of foreign direct investment, we recommend that policies should gear towards stability in the forex market and interest rate among others.

Reference Values Obtained by Kernel-Based Estimation of Quantile Regressions

Biometrics ◽  
1995 ◽  
Vol 51 (3) ◽  
pp. 1105 ◽  
Author(s):  
Gilles R. Ducharme ◽  
Ali Gannoun ◽  
Marie-Claude Guertin ◽  
Jean-Claude Jequier
Keyword(s):  
Reference Values ◽  
Quantile Regressions

Unit root tests with conditional heteroskedasticity

1993 ◽  
Vol 59 (3) ◽  
pp. 287-300 ◽  
Author(s):  
Kiwhan Kim ◽  
Peter Schmidt
Keyword(s):  
Unit Root ◽  
Unit Root Tests ◽  
Conditional Heteroskedasticity

scholarly journals Organising household consumption and occupational proportions

2018 ◽  
Vol 26 (4) ◽  
pp. 748-772
Author(s):  
Tolu Olarewaju
Keyword(s):  
Developing Countries ◽  
Occupational Status ◽  
Household Consumption ◽  
Quantile Regressions ◽  
Content Type ◽  
Self Employment ◽  
Causality Tests ◽  
Positive Effect ◽  
Practical Implications ◽  
Better Than

Purpose The purpose of this paper is to contribute to the occupational status and entrepreneurship research in developing countries by proposing that there are implications for household consumption depending on the occupational status proportion of households. When the occupational proportion of the household changes, household consumption is affected. This effect also changes depending on what quantile level the household is in terms of household consumption. Design/methodology/approach The paper makes use of OLS and quantile regressions to examine 6,919 households comprising 40,294 individuals from the 2009 Nigerian Living standards measurement survey. Findings The paper finds that there are implications for household consumption based on the proportion of individuals in each occupational category. The contributions of each employment proportion changes at different quantiles with self-employed individuals increasing household consumption at the lower quantiles but reducing household consumption at the upper quantiles. Crucially, having a higher proportion of unemployed individuals in the household is oftentimes better than having a higher proportion of own account self-employed individuals. Research limitations/implications This paper offers new insights into how occupation proportion influences household consumption in developing countries. As a result, the household could seek to organise its members in such a way as to maximise combined household consumption, as diverse occupational statuses contribute differently to the household consumption at different quantile levels. The nature of the data used in this study however does not allow for causality tests. Practical implications The proportion of employment statuses in the household has implications for household consumption and so the mix of employment in the household is important. The self-employed could also be involved in activities to enhance household consumption that are not captured by labour income. However, self-employment does not seem to always have a positive effect on household consumption and sometimes unemployment might be better. Originality/value The paper provides a new way to view the household as an organising entity in terms of how it can allocate employment proportions to maximise household consumption.

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