Quantile regression for cross-sectional and time series data : applications in energy markets using R

• 作者： Uribe, Jorge M., author.
• 其他作者：
  • Guillen, Montserrat, author.
  • SpringerLink (Online service)
• 其他題名：
  • SpringerBriefs in finance.
• 出版： Cham : Springer International Publishing :Imprint: Springer
• 叢書名： SpringerBriefs in finance,
• 主題： Quantile regression. , Time-series analysis. , R (Computer program language) , Econometrics. , Quantitative Finance. , Statistics for Business, Management, Economics, Finance, Insurance. , Statistics and Computing/Statistics Programs.
• ISBN： 9783030445041 (electronic bk.) 、 9783030445034 (paper)
• FIND@SFXID: CGU
• 資料類型: 電子書
• 內容註: Why and When Should Quantile Regression Be Used?- A Case of Study: Modelling Energy Markets by the Means of Quantile Regression -- Quantile Regression: A Methodological Overview -- Cross-Sectional Quantile Regression -- Time Series Quantile Regression -- Goodness of Fit in Quantile Regression Models -- Novel Approaches in Quantile Regression -- What Have We Learned from Quantile Regression? Implications for Economics and Finance -- Appendix: Programs for Quantile Regression and Implementation in R.
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• 摘要註: This brief addresses the estimation of quantile regression models from a practical perspective, which will support researchers who need to use conditional quantile regression to measure economic relationships among a set of variables. It will also benefit students using the methodology for the first time, and practitioners at private or public organizations who are interested in modeling different fragments of the conditional distribution of a given variable. The book pursues a practical approach with reference to energy markets, helping readers learn the main features of the technique more quickly. Emphasis is placed on the implementation details and the correct interpretation of the quantile regression coefficients rather than on the technicalities of the method, unlike the approach used in the majority of the literature. All applications are illustrated with R.
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