Allen, David E; Singh, Abhay Kumar; Powell, Robert; … - School of Business, Edith Cowan University - 2012
quantile dependence using a linear and non- linear quantile regression approach. Our goal is to demonstrate that the … across the distribution of the volatility-price re-turn pairs using quantile regressions. We examine the bivariate … hence OLS may not capture a complete picture of the relationship. Quantile regression, on the other hand, can be set up with …