Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity
| Year of publication: |
2012
|
|---|---|
| Authors: | Chen, Cathy ; Lin, Simon ; Yu, Philip |
| Published in: |
Computational Economics. - Society for Computational Economics - SCE, ISSN 0927-7099. - Vol. 40.2012, 1, p. 19-48
|
| Publisher: |
Society for Computational Economics - SCE |
| Subject: | Bayesian inference | CAPM | GARCH | Quantile regression | Skewed-Laplace distribution | Smooth transition |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10010866870