Revisiting the asymmetric dynamic dependence of stock returns : evidence from a quantile autoregression model
Hui-Ming Zhu, ZhaoLai Li, WanHai You, Zhaofa Zeng
| Year of publication: |
July 2015
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|---|---|
| Authors: | Zhu, Huiming ; Li, Zhao-Lai ; You, Wan-hai ; Zeng, Zhaofa |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 40.2015, p. 142-153
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| Subject: | Quantile autoregression | Stock returns | Asymmetric dynamic dependence | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Volatilität | Volatility | Autokorrelation | Autocorrelation | Regressionsanalyse | Regression analysis | Kapitalmarktrendite | Capital market returns | Börsenkurs | Share price | Großbritannien | United Kingdom | Schätzung | Estimation | Aktienmarkt | Stock market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2015.05.013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011475708