Diversification and risk-adjusted performance: A quantile regression approach

Financial market interdependencies: A quantile regression analysis of volatility spillover

“…This technique has been widely used in the past decade in many areas of applied econometrics; applications include investigations of wage structure (Buchinsky and Leslie, 1997), earnings mobility (Eide and Showalter, 1999;Buchinsky and Hunt, 1999), and educational attainment (Eide and Showalter, 1998). This technique has been also used in the financial sector for solving problems related to the Value at Risk and option pricing (Morillo, 2000;Engle and Manganelli, 2004), CoVaR (Adrian and Brunnermeier, 2011), and especially to model the dependence of financial variables and to study the structure and level of dependence (Chuang et al 2009;Lee and Li, 2012;Baur, 2013).…”

“…It's the Quantile Regression (QR) model, which has been previously used in the financial literature to study the value-at-risk (Engle and Manganelli, 2004;Rubia and Sanchis-Marco, 2013), the systemic risk (Adrian and Brunnermeier, 2011) the prediction of failure (Li and Miu, 2010) and also the modeling of dependence between financial variables (Bassett and Chen, 2001;Chuang et al, 2009;Baur et al, 2012;. Lee and Li, 2012;Tsai, 2012;Ciner et al, 2013;Gebka and Wohar, 2013). This approach seems to be more robust because it uses different measures of central tendency and dispersion statistics for a further detailed analysis of the relationship between variables.…”

Another Look at the Case for International Diversification

“…For example, using a sample of U.S. listed companies, Lee and Li [2012] attempted to reconcile contradictory results in the literature by employing a panel analysis with firm-specific effects and a quantile approach. 1 They found that the effect of diversification on performance varied across different types of firms.…”

Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis

“…Lee and Li (2012) document a non-linear diversification effect on firm performance, dependent on the quantile of the distribution. Ciner et al (2013) use quantile regressions to explore whether the dependences between different asset classes in the US and the UK differ during episodes of extreme price movements.…”