Allen, David Edmund; Powell, Ronan; McAleer, Michael; … - Facultad de Ciencias Económicas y Empresariales, … - 2012
quantile dependence using a linear and non- linear quantile regression approach. Our goal is to demonstrate that the … hence OLS may not capture a complete picture of the relationship. Quantile regression, on the other hand, can be set up with … between price and volatility. In the empirical analysis we compare the results from linear quantile regression (LQR) and …