Evaluation of portfolio returns in fama-french model using quantile regression under asymmetric laplace distribution
© Springer International Publishing Switzerland 2015. We applied the method of quantile regression under asymmetric Laplace distribution to predicting stock returns. Specifically, we used thismethod in the Fama and French three-factor model for the five industry portfolios to estimate the beta coeff...
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| Main Authors: | , , |
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| 格式: | Book Series |
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2018
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| 在線閱讀: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84919344188&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/44571 |
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| 機構: | Chiang Mai University |