Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression
Year of publication: |
2013
|
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Authors: | Allen, David E. ; Singh, Abhay K. ; Powell, Robert J. ; McAleer, Michael ; Taylor, James ; Thomas, Lyn |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Börsenkurs | Kapitaleinkommen | Volatilität | Regression | Kopula (Mathematik) | Methode der kleinsten Quadrate | Welt | Return-Volatility relationship | quantile regression | copula | copula quantile regression | volatility index | tail dependence |
Series: | Tinbergen Institute Discussion Paper ; 13-020/III |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 740352857 [GVK] hdl:10419/87245 [Handle] RePEc:dgr:uvatin:20130020 [RePEc] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; c58 ; G11 - Portfolio Choice |
Source: |
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Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression
Allen, David E., (2013)
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The Volatility-Return Relationship:Insights from Linear and Non-Linear Quantile Regressions
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The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions
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Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression
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Return-Volatility Relationship : Insights from Linear and Non-Linear Quantile Regression
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