Authors:
- Examines quantile regression models from an implementation and interpretation angle
- Provides a practical user's guide for researchers, students and practitioners in economics, econometrics and finance
- Includes replication codes for the examples in R
Part of the book series: SpringerBriefs in Finance (BRIEFSFINANCE)
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Table of contents (8 chapters)
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Front Matter
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Back Matter
About this book
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.
Authors and Affiliations
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Faculty of Economics and Business, Open University of Catalonia, Barcelona, Spain
Jorge M. Uribe
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Department of Econometrics, University of Barcelona, Barcelona, Spain
Montserrat Guillen
About the authors
Montserrat Guillen is a Professor of Quantitative Methods and the Director of UB Riskcenter, a research center for risk analysis at the University of Barcelona, Spain. She is also an Honorary Professor of the Faculty of Actuarial Science and Insurance at the City University London, United Kingdom. She was honored with the ICREA Academia Distinction award for outstanding research.
Bibliographic Information
Book Title: Quantile Regression for Cross-Sectional and Time Series Data
Book Subtitle: Applications in Energy Markets Using R
Authors: Jorge M. Uribe, Montserrat Guillen
Series Title: SpringerBriefs in Finance
DOI: https://doi.org/10.1007/978-3-030-44504-1
Publisher: Springer Cham
eBook Packages: Economics and Finance, Economics and Finance (R0)
Copyright Information: The Author(s), under exclusive license to Springer Nature Switzerland AG 2020
Softcover ISBN: 978-3-030-44503-4Published: 31 March 2020
eBook ISBN: 978-3-030-44504-1Published: 30 March 2020
Series ISSN: 2193-1720
Series E-ISSN: 2193-1739
Edition Number: 1
Number of Pages: X, 63
Number of Illustrations: 6 b/w illustrations, 7 illustrations in colour
Topics: Econometrics, Quantitative Finance, Statistics for Business, Management, Economics, Finance, Insurance, Statistics and Computing/Statistics Programs