Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression

Author:

Allen David E.,Singh Abhay Kumar,Powell Robert J.,McAleer Michael,Taylor James W.,Thomas Lyn C.

Publisher

Elsevier BV

Reference36 articles.

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2. Asymmetric Correlations of Equity Portfolios;A Ang;Journal of Financial Economics,2002

3. Quantile Regression Analysis of the Asymmetric Return-Volatility Relation;I U Badshah;Journal of Futures Markets,2012

4. Quantile Regression Analysis of the Cross Section of Stock Market Returns;M L Barnes;Retrieved from Social Science Research Nework website,2002

5. Studies of stock market volatility changes;F Black;Proceedings of the American Statistical Association, Business and Economic Statistics Section,1976

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