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:	Computer Science
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84919360816&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/54360
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Institution:	Chiang Mai University

id	th-cmuir.6653943832-54360
record_format	dspace
spelling	th-cmuir.6653943832-543602018-09-04T10:12:26Z Quantile regression under asymmetric laplace distribution in capital asset pricing model Kittawit Autchariyapanitkul Somsak Chanaim Songsak Sriboonchitta Computer Science © 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. 2018-09-04T10:12:26Z 2018-09-04T10:12:26Z 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/6653943832/54360
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
topic	Computer Science
spellingShingle	Computer Science 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/6653943832/54360
_version_	1681424306324635648

Quantile regression under asymmetric laplace distribution in capital asset pricing model

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