Smooth transition quantile capital asset pricing models with heteroscedasticity (Q1930398)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Smooth transition quantile capital asset pricing models with heteroscedasticity |
scientific article |
Statements
Smooth transition quantile capital asset pricing models with heteroscedasticity (English)
0 references
11 January 2013
0 references
Bayesian inference
0 references
CAPM
0 references
GARCH
0 references
quantile regression
0 references
skewed-Laplace distribution
0 references
smooth transition
0 references
