Smooth transition quantile capital asset pricing models with heteroscedasticity (Q1930398)

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Smooth transition quantile capital asset pricing models with heteroscedasticity
scientific article

    Statements

    title
    Smooth transition quantile capital asset pricing models with heteroscedasticity (English)
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    author
    Yanyan Li
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    publication date
    11 January 2013
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    zbMATH Keywords
    Bayesian inference
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    CAPM
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    GARCH
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    quantile regression
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    skewed-Laplace distribution
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    smooth transition
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    Identifiers

    Mathematics Subject Classification ID
    91G70
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    91G20
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    62P05
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    62F15
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    91B82
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    zbMATH DE Number
    6124509
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    OpenAlex ID
    W3124865411
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