... diversification. Design/methodology/approach This study uses quantile regression to analyse the effect of changes in the nominal interest rate on the returns of five AI-based tokens. Two models are used to evaluate the performance of the tokens in relation to the S&P 500 and interest rates, taking...

.../methodology/approach The study uses quantile regression to estimate the models. Daily data from ten major cryptocurrencies, the CCI30 index and three volatility indices (VIX, EVZ and GVZ), spot gold price, the MSCI and the US dollar indices from January 2018 to December 2023 have been used. Findings...

... estate, private equity and hedge funds during extreme negative stock market movements. Design/methodology/approach Using dynamic conditional correlation and quantile regression, the authors analyze a data set of 12 indices comprising listed infrastructure and traditional asset classes from 2010...

...Md Akther Uddin; Md Hakim Ali; Mansur Masih Purpose This paper aims to study institutions, human capital and economic growth in developing countries. Design/methodology/approach The study applies dynamic system Generalized Method of Moments (GMM) and simultaneous quantile regression on a panel...

... deviation methodology for daily frequencies of data of all the common stocks listed during the period from April 2000 to March 2018. The regression coefficients are estimated by using both the ordinary least square and the quantile regression procedures. Findings The findings reveal significant changes...

... of the authors’ knowledge, has not been addressed in the literature. The role of these control variables has collectively been considered to have important behavioral implications for international investors Design/methodology/approach Quantile regressions are used for estimation purpose, as it provides...

... emerging and two mature markets, India, South Africa, the UK and the USA, using long-term historical monthly data. Design/methodology/approach To address the issue at hand, copula quantile-on-quantile regression (C-QQR) is used to model the correlation structure. Although this technique is driven...

... to 2010 to estimate panel ordinary least squares (OLS), instrumental variables (IV) and quantile regressions. They also measure the impact of return on equity on market-to-book uncovering value versus growth and positive versus negative profitability dimensions. Findings The new evidence...

... to hold a risky asset. Based on descriptive portfolio estimations, panel and quantile regressions, the authors model the cost of equity capital as a function of CSR strengths and concerns obtained from the KLD-database and accounting controls. Findings – The authors show that firms' CSR strategies...