Evaluation of portfolio returns in fama-french model using quantile regression under asymmetric laplace distribution

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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書目詳細資料
Main Authors:	Kittawit Autchariyapanitkul, Somsak Chanaim, Songsak Sriboonchitta
格式:	Book Series
出版:	2018
主題:	Computer Science
在線閱讀:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84919344188&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/54359
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Chiang Mai University

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