Smooth Transition Quantile Capital Asset Pricing Models with Heteroscedasticity

Cathy W. S. Chen (), Simon Lin and Philip Yu

Computational Economics, 2012, vol. 40, issue 1, 19-48

Keywords: Bayesian inference; CAPM; GARCH; Quantile regression; Skewed-Laplace distribution; Smooth transition; C11; C22; C51; C52 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s10614-011-9266-y

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