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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Bibliographic Details
Main Authors: Kittawit Autchariyapanitkul, Somsak Chanaim, Songsak Sriboonchitta
Format: Book Series
Published: 2018
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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

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