Smooth transition quantile capital asset pricing models with heteroscedasticity

DOI10.1007/s10614-011-9266-yzbMath1282.91383MaRDI 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 regression; GARCH; Bayesian inference; CAPM; smooth transition; skewed-Laplace distribution

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

62F15: Bayesian inference

91G20: Derivative securities (option pricing, hedging, etc.)

91B82: Statistical methods; economic indices and measures

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