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

Related Items

Quantile Regression Under Asymmetric Laplace Distribution in Capital Asset Pricing Model, Bayesian tail risk interdependence using quantile regression, Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution, Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity

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