Chapter 1 Introduction 1.1 Overview 1.2 Quantile Regression and Its Applications References Chapter 2 Robust Statistics and Robust Regressions 2.1 Introduction to Classical and Robust Approaches to Statistics 2.2 Least Squares Linear Regression 2.3 Robust Regression 2.3.1 Least Absolute Values Regression 2.3.2 M-estimator 2.4 Quantile Regression 2.4.1 Quantile Regression Model 2.4.2 The Finite-sample Distribution of Regression Quantiles 2.4.3 Quantile Regression Asymptotics 2.4.4 Wald Tests 2.4.5 Estimation of Asymptotic Covariance Matrix 2.4.6 Quantile Likelihood Ratio Tests References Chapter 3 Robust Estimates of Covariance 3.1 Conventional Measure of Covariance 3.2 Robust Measures of Covariance 3.2.1 Median Absolute Deviation About the Median (MAD) 3.2.2 Gnanadesikan and Ketenring Robust Measures of Covariance 3.2.3 M-estimates 3.2.4 Minimum Volume Ellipsoid Estimate (MVE) 3.2.5 S-estimates 3.2.6 Minimum Covariance Determinant Estimate (MCD) 3.3 An Alternative Robust Measure of Covariance 3.4 Monte Carlo Simulations 3.5 Empirical Application 3.5.1 Empirical Comparison of Robust Estimates 3.5.2 Portfolio Performances of Robust Covariances 3.6 Conclusion 3.7 Appendix: Derivation of Conventional Covariance with Outlier(s) References Chapter 4 Quantile Regression Serial Correlation Tests 4.1 Spurious Autocorrelation in Quantile Models 4.1.1 Standard LM Test for Linear Model with AR(p) Errors 4.1.2 Theoretical Explanation to the Occurance of Spurious Autocorrelation 4.2 Correctly-sized Tests 4.2.1 QF test 4.2.2 The QR-LM Test 4.3 Monte-Carlo Simulations 4.4 An Empirical Example 4.5 Conclusion 4.6 Appendix References Chapter 5 Growth Empirics Based on IV Panel Quantile Regression 5.1 Economic Growth Convergence 5.2 Quantile Regression for Panel Data Model with Fixed Effects
5.3 Growth Convergence at the Conditional Mean 5.4 Growth Convergence at Different Conditional Quantiles 5.5 Empirical Results from 86 Non-oil Countries 5.5.1 Data and Samples 5.5.2 Empirical Results 5.5.3 Conclusion 5.6 Evidence from China Provincial Panel Data 5.6.1 Literature on China's Regional Economic Development 5.6.2 Model and Data 5.6.3 Empirical Results 5.6.4 Conclusion from China's Empirical Results References Chapter 6 The Impact of FDI on Economic Growth: an Empirical Evidence from IV Panel Quantile Regression 6.1 FDI and Economic Growth 6.2 IV Quantile Regression Model for Panel Data with Fixed Effects 6.3 Data and Empirical Results 6.4 Conclusion 6.5 Appendix References Chapter 7 Financial Risk Measurement: CoVaR 7.1 Financial Risk Transition Mechanism and Source of Risk in China 7.1.1 The Transmission Mechanism of Financial Risk in China 7.1.2 Sources of Financial Risk in China 7.2 Risk Measurements: VaR, CoVaR, and △CoVaR 7.2.1 Definition of VaR 7.2.2 Calculation of VaR 7.2.3 Definition of CoVaR and △CoVaR 7.2.4 Calculation of CoVaR 7.2.5 CoVaR Model Based on Quantile Regression 7.3 Empirical Study on Systemic Financial Risks in China 7.3.1 Data Selection 7.3.2 Data Processing and Descriptive Statistics 7.3.3 Identification of Systemically Important Financial Institutions 7.4 Static Risk Contribution of Financial Sub-industries on Financial System 7.4.1 Data Selection 7.4.2 Data Processing and Descriptive Statistics 7.5 Risk Spillover Effects Between Financial Sub-sectors 7.5.1 Static Risk Spillover Effects Between Financial Sub-sectors 7.5.2 Dynamic Risk Spillover Effects Between Financial Sub-industries 7.6 Conclusion References Chapter 8 Markov Regime Switching in Quantile Autoregression Stock Market Return Model 8.1 Introduction to Markov-switching model 8.2 Markov-switching Quantile Autoregressive Model for Stock Market Returns 8.3 Data Description and Empirical Results 8.4 Conclusion References
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