Journal of the Royal Statistical Society. Series C (Applied Statistics), Vol. 62, No. 5 (NOVEMBER 2013), pp. 723-740 (18 pages) We explore a particular fully parametric approach to quantile regression ...

Is the front-month gamma-weighted SOIR a tradable indicator? Our Schaeffer's put/call open interest ratio (SOIR) measures the amount of put open interest relative to call open interest, using ...

This is a preview. Log in through your library . Abstract A robust analysis for field data is proposed using a stratified rank regression model. That analysis follows Pettitt (1982). Alternatively, a ...