Structural breaks of CAPM-type market model with heteroskedasticity and quantile regression
Cathy W.S. Chen, Khemmanant Khamthong and Sangyeol Lee
| Year of publication: |
[2017]
|
|---|---|
| Authors: | Chen, Cathy W. S. ; Khemmanant Khamthong ; Lee, Sangyeol |
| Published in: |
Robustness in econometrics. - Cham : Springer, ISBN 978-3-319-50741-5. - 2017, p. 111-134
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| Subject: | CAPM | Change point test | CUSUM test | Beta coefficient | Asymmetric effect | GARCH model | Quantile regression | Regressionsanalyse | Regression analysis | ARCH-Modell | ARCH model | Schätzung | Estimation | Strukturbruch | Structural break | Schätztheorie | Estimation theory | Statistischer Test | Statistical test |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/978-3-319-50742-2_8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011801139