Assessing the idiosyncratic risk and stock returns relation in heteroskedasticity corrected predictive models using quantile regression
Harmindar B. Nath, Robert D. Brooks
| Year of publication: |
July 2015
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| Authors: | Nath, Harmindar B. ; Brooks, Robert |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 38.2015, p. 94-111
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| Subject: | Idiosyncratic risk | Quantile regression | GARCH model | Panel data | Regressionsanalyse | Regression analysis | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Schätzung | Estimation | Volatilität | Volatility | Risiko | Risk | Theorie | Theory | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Heteroskedastizität | Heteroscedasticity | Kapitalmarktrendite | Capital market returns |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2014.12.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011572339