Quantile regression under asymmetric laplace distribution in capital asset pricing model

© Springer International Publishing Switzerland 2015. We used a quantile regression under asymmetric Laplace distribution for predicting stock returns. Specifically, we apply this method to the classical capital asset pricing model (CAPM) to estimate the beta coefficient which measure risk in the po...

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Main Authors:	Kittawit Autchariyapanitkul, Somsak Chanaim, Songsak Sriboonchitta
Format:	Book Series
Published:	2018
Subjects:	Agricultural and Biological Sciences
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84919360816&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/44547
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Institution:	Chiang Mai University

id	th-cmuir.6653943832-44547
record_format	dspace
spelling	th-cmuir.6653943832-445472018-04-25T07:52:41Z Quantile regression under asymmetric laplace distribution in capital asset pricing model Kittawit Autchariyapanitkul Somsak Chanaim Songsak Sriboonchitta Agricultural and Biological Sciences © Springer International Publishing Switzerland 2015. We used a quantile regression under asymmetric Laplace distribution for predicting stock returns. Specifically, we apply this method to the classical capital asset pricing model (CAPM) to estimate the beta coefficient which measure risk in the portfolios management analysis at given levels of quantile. Quantile regression estimation is equivalent to the parametric case where the error term is asymmetrically Laplace distributed. Finally, we use the method to measures the volatility of a portfolio relative to the market. 2018-01-24T04:44:33Z 2018-01-24T04:44:33Z 2015-01-01 Book Series 1860949X 2-s2.0-84919360816 10.1007/978-3-319-13449-9_15 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84919360816&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/44547
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
topic	Agricultural and Biological Sciences
spellingShingle	Agricultural and Biological Sciences Kittawit Autchariyapanitkul Somsak Chanaim Songsak Sriboonchitta Quantile regression under asymmetric laplace distribution in capital asset pricing model
description	© Springer International Publishing Switzerland 2015. We used a quantile regression under asymmetric Laplace distribution for predicting stock returns. Specifically, we apply this method to the classical capital asset pricing model (CAPM) to estimate the beta coefficient which measure risk in the portfolios management analysis at given levels of quantile. Quantile regression estimation is equivalent to the parametric case where the error term is asymmetrically Laplace distributed. Finally, we use the method to measures the volatility of a portfolio relative to the market.
format	Book Series
author	Kittawit Autchariyapanitkul Somsak Chanaim Songsak Sriboonchitta
author_facet	Kittawit Autchariyapanitkul Somsak Chanaim Songsak Sriboonchitta
author_sort	Kittawit Autchariyapanitkul
title	Quantile regression under asymmetric laplace distribution in capital asset pricing model
title_short	Quantile regression under asymmetric laplace distribution in capital asset pricing model
title_full	Quantile regression under asymmetric laplace distribution in capital asset pricing model
title_fullStr	Quantile regression under asymmetric laplace distribution in capital asset pricing model
title_full_unstemmed	Quantile regression under asymmetric laplace distribution in capital asset pricing model
title_sort	quantile regression under asymmetric laplace distribution in capital asset pricing model
publishDate	2018
url	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84919360816&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/44547
_version_	1681422579664945152

Quantile regression under asymmetric laplace distribution in capital asset pricing model

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