Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity

Author:

Chen Cathy W. S.,Lin Simon,Yu Philip L. H.

Publisher

Springer Science and Business Media LLC

Subject

Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)

Reference38 articles.

1. Akdeniz, L., Altay-Salih, A., & Caner, M. (2003). Time-varying betas help in asset pricing: The threshold CAPM. Studies in Nonlinear Dynamics & Econometrics, 6. Available online at: http://www.bepress.com/snde/vol6/iss4/art1 .

2. Bacon D. W., Watts D. G. (1971) Estimating the transition between two intersecting straight lines. Biometrika 58: 525–534

3. Banz R. W. (1981) The relationship between return and market value of common stocks. Journal of Financial Economics 9: 3–18

4. Bassett G., Koenker R. (1982) An empirical quantile function for linear models with iid errors. Journal of the American Statistical Association 77: 407–415

5. Bollerslev T. (1986) Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics 31: 307–327

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