Predicting stock returns in the capital asset pricing model using quantile regression and belief functions

© Springer International Publishing Switzerland 2014. We consider an inference method for prediction based on belief functions in quantile regression with an asymmetric Laplace distribution. Specifically, we apply this method to the capital asset pricing model to estimate the beta coefficient and me...

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Bibliographic Details
Main Authors: Kittawit Autchariyapanitkul, Somsak Chanaim, Songsak Sriboonchitta, Thierry Denoeux
Format: Book Series
Published: 2018
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84921642441&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/45690
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Institution: Chiang Mai University

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