Smooth transition quantile capital asset pricing models with heteroscedasticity

DOI10.1007/s10614-011-9266-yzbMath1282.91383OpenAlexW3124865411MaRDI QIDQ1930398

Yanyan Li

Publication date: 11 January 2013

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-011-9266-y

zbMATH Keywords

quantile regressionGARCHBayesian inferenceCAPMsmooth transitionskewed-Laplace distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82)

Related Items (6)

Bayesian tail risk interdependence using quantile regression ⋮ Quantile Regression Under Asymmetric Laplace Distribution in Capital Asset Pricing Model ⋮ Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis ⋮ Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity ⋮ Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution ⋮ Testing for a unit root in a nonlinear quantile autoregression framework

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