Modeling US Stock Market Volatility-Return Dependence Using Conditional Copula and Quantile Regression-Reference-Cited by-同舟云学术

Modeling US Stock Market Volatility-Return Dependence Using Conditional Copula and Quantile Regression

Published:2016 Issue: Volume: Page:597-621
ISSN:1431-8849
Container-title:The Economics of the Global Environment
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Author:

Agbeyegbe Terence D.

Publisher

Springer International Publishing

Link

http://link.springer.com/content/pdf/10.1007/978-3-319-31943-8_26

Reference67 articles.

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4. Allen, D., Singh, A. K., Powell, R. J., McAleer, M., Taylor, J., & Thomas, L. (2012). The volatility-return relationship: insights from linear and non-linear quantile regression. Working Paper, School of Accounting Finance & Economics, Edith Cowan University, Retrieved from Complutense. http://eprints.ucm.es/16688/ .

5. Ang, A., & Chen, J. (2002). Asymmetric correlations of equity portfolios. Journal of Financial Economics, 63(3), 443–494.

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