Quantile Regression for Cross-Sectional and Time Series Data
Applications in Energy Markets Using R
Authors: Uribe, Jorge M., Guillen, Montserrat
Free Preview- 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
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- About this book
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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.
- About the authors
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Jorge M. Uribe is an Associate Professor at the Universitat Oberta de Catalunya, Spain. He received a PhD in Economics from the University of Barcelona, Spain, in 2018. He is an Associate Researcher at UB Riskcenter, Barcelona, and has lead the Research Group in Quantitative Finance, Universidad del Valle, Colombia, since 2015.
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.
- Table of contents (8 chapters)
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Why and When Should Quantile Regression Be Used?
Pages 1-5
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A Case Study: Modeling Energy Markets by the Means of Quantile Regression
Pages 7-11
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Quantile Regression: A Methodological Overview
Pages 13-19
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Cross-sectional Quantile Regression
Pages 21-32
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Time Series Quantile Regression
Pages 33-44
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Table of contents (8 chapters)
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Bibliographic Information
- 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
- Copyright
- 2020
- Publisher
- Springer International Publishing
- Copyright Holder
- The Author(s), under exclusive license to Springer Nature Switzerland AG
- eBook ISBN
- 978-3-030-44504-1
- DOI
- 10.1007/978-3-030-44504-1
- Softcover ISBN
- 978-3-030-44503-4
- Series ISSN
- 2193-1720
- Edition Number
- 1
- Number of Pages
- X, 63
- Number of Illustrations
- 6 b/w illustrations, 7 illustrations in colour
- Topics
