Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis
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Publication:6168909
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Cites work
- A generalized class of skew distributions and associated robust quantile regression models
- ARCH modeling in finance. A review of the theory and empirical evidence
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bayesian Measures of Model Complexity and Fit
- Bayesian causal effects in quantiles: accounting for heteroscedasticity
- Bayesian quantile inference
- Bayesian quantile regression
- Common risk factors in the returns on stocks and bonds
- Equation of state calculations by fast computing machines
- GARCH models without positivity constraints: exponential or log GARCH?
- Generalized autoregressive conditional heteroscedasticity
- Goodness of Fit and Related Inference Processes for Quantile Regression
- Marginal Likelihood From the Metropolis–Hastings Output
- Monte Carlo sampling methods using Markov chains and their applications
- Multi-regime nonlinear capital asset pricing models
- Quantile regression.
- Regression Quantiles
- Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
- Smooth transition quantile capital asset pricing models with heteroscedasticity
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