Smooth transition quantile capital asset pricing models with heteroscedasticity
type: Item
instance of: scholarly article
title: Smooth transition quantile capital asset pricing models with heteroscedasticity
zbMATH Open document ID: 1282.91383
author: Yanyan Li
published in: Computational Economics
publication date: 2013-01-11T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 91B82
zbMATH DE Number: 6124509
zbMATH Keywords: Bayesian inference
zbMATH Keywords: CAPM
zbMATH Keywords: GARCH
zbMATH Keywords: quantile regression
zbMATH Keywords: skewed-Laplace distribution
zbMATH Keywords: smooth transition
MaRDI profile type: Publication
full work available at URL: s10614-011-9266-y
OpenAlex ID: W3124865411
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DOI: 10.1007/S10614-011-9266-Y
description: scientific article; zbMATH DE number 6124509