Quantile cointegrating regression
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Each is checked against this paper’s own text: does it say what the citing paper says it does?
The quantile ARDL model determines quantile-varying cointegration coefficients in the near term.
“Third, the model determines quantile-varying cointegration coefficients in the near term, a nuance that is frequently disregarded by conventional techniques (Xiao, 2009;Olasehinde-Williams et al., 2024).”
From The Velocity of Money and Lessons for Monetary Policy in Nigeria: An Application of the Quantile ARDL Approach (2024) · cites this paper as Xiao, 2009
Cited by
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Hung, N. T. (2023) · Technological Forecasting and Social Change · doi:10.1016/j.techfore.2022.122185 · Cited by 210 · see citing works
Cheng, Y., Sinha, A., Ghosh, V., Sengupta, T., & Luo, H. (2021) · Journal of Environmental Management · doi:10.1016/j.jenvman.2021.112957 · Cited by 177 · see citing works
Oyadeyi, O. O. (2024) · Journal of the Knowledge Economy · doi:10.1007/s13132-024-02201-7 · Cited by 13 · see citing works
“Third, the model determines quantile-varying cointegration coefficients in the near term, a nuance that is frequently disregarded by conventional techniques (Xiao, 2009; Olasehinde-Williams et al., 2024).”
- Authors
- Xiao, Z.
- Affiliations
- Boston College (US)
- Corresponding author
- Xiao, Zhijie
- ORCID
- Xiao, Zhijie
- Venue
- Journal of Econometrics
- Publisher
- Elsevier BV
- Published
- 2009-06
- Volume
- 150
- Issue
- 2
- Pages
- 248-260
- ISSN
- 0304-4076 (ISSN-L)
- OpenAlex
- W2150198708
- Cited by
- 431
- References
- 0
- Citations by year
- 2026: 31 · 2025: 56 · 2024: 68 · 2023: 63 · 2022: 58 · 2021: 37 · 2020: 25 · 2019: 17 · 2018: 12 · 2017: 7 · 2016: 14 · 2015: 18 · 2014: 6 · 2013: 3 · 2012: 8
- FWCI
- 4.66
- Type
- journal article
- Language
- en
- Open access
- green
- fmwww.bc.edu
- Locations
- Journal of Econometrics (publishedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- Topics
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
- Social Sciences › Economics, Econometrics and Finance › General Economics, Econometrics and Finance › Monetary Policy and Economic Impact
- Physical Sciences › Mathematics › Statistics and Probability › Advanced Statistical Methods and Models
- Keywords
- quantile regression, cointegration, endogenous regressors, Wald test, asymptotic distribution, stock index returns, risk management
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
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