On asymmetric market model with heteroskedasticity and quantile regression
Year of publication: |
January 2017
|
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Authors: | Chen, Cathy W. S. ; Li, Muyi ; Nguyen, Nga T. H. ; Songsak Sriboonchitta |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 49.2017, 1, p. 155-174
|
Subject: | CAPM | Time-varying beta coefficient | Asymmetric effect | GARCH | Quantile regression | Theorie | Theory | Regressionsanalyse | Regression analysis | ARCH-Modell | ARCH model | Schätzung | Estimation | Betafaktor | Beta risk |
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