On asymmetric market model with heteroskedasticity and quantile regression
Cathy W. S. Chen, Muyi Li, Nga T.H. Nguyen, Songsak Sriboonchitta
| Year of publication: |
January 2017
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|---|---|
| Authors: | Chen, Cathy W. S. ; Li, Muyi ; Nguyen, Nga T. H. ; Songsak Sriboonchitta |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 49.2017, 1, p. 155-174
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| Subject: | CAPM | Time-varying beta coefficient | Asymmetric effect | GARCH | Quantile regression | Regressionsanalyse | Regression analysis | ARCH-Modell | ARCH model | Betafaktor | Beta risk | Schätzung | Estimation | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | Heteroskedastizität | Heteroscedasticity |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-015-9550-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011751821