Quantile regression under asymmetric laplace distribution in capital asset pricing model

• المؤلفون الرئيسيون: Kittawit Autchariyapanitkul, Somsak Chanaim, Songsak Sriboonchitta
• التنسيق: Book Series
• منشور في: 2018
• الموضوعات: Computer Science
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84919360816&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/54360

© 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...