On Asymmetric Market Model with Heteroskedasticity and Quantile Regression

• المؤلفون الرئيسيون: Cathy W.S. Chen, Muyi Li, Nga T.H. Nguyen, Songsak Sriboonchitta
• التنسيق: دورية
• منشور في: 2018
• الموضوعات: Economics, Econometrics and Finance; Agricultural and Biological Sciences
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84950265347&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/46743

© 2015, Springer Science+Business Media New York. The capital asset pricing model is widely used in financial risk management due to its simplicity and utility in a variety of situations. Many of the constructs of this market model are widely used in investment, but the simple assumptions of a const...