The aim of this study is to provide a comprehensive description of the dependence pattern of stock returns by studying a range of quantiles of the conditional return distribution using quantile autoregression. This enables us in particular to study the behavior of extreme quantiles associated...

The aim of this study is to provide a comprehensive description of the dependence pattern of stock returns by studying a range of quantiles of the conditional return distribution using quantile autoregression. This enables us in particular to study the behavior of extreme quantiles associated...

The Anna Karenina principle (AKP) based on the opening line of Leo Tolstoy’s Anna Karenina, “All happy families are all alike; each unhappy family is unhappy in its own way” is applied to financial markets. We test the AKP by defining happy firms as positive return firms and unhappy firms...