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文書・図像類

The Volatility-Return Relationship : Insights from Linear and Non-Linear Quantile Regressions

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The Volatility-Return Relationship : Insights from Linear and Non-Linear Quantile Regressions

Material type
文書・図像類
Author
Allen, David E.ほか
Publisher
Institute of Economic Research, Kyoto University
Publication date
2012-11
Material Format
Digital
Capacity, size, etc.
-
NDC
330
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Detailed bibliographic record

Summary, etc.:

This paper examines the asymmetric relationship between price and implied volatility and the associated extreme quantile dependence using a linear and...

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  • Kyoto University Research Information Repository

    Digital
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Bibliographic Record

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Digital

Material Type
文書・図像類
Author/Editor
Allen, David E.
Singh, Abhay K.
Powell, Robert J.
McAleer, Michael
Taylor, James
Thomas, Lyn
Publication Date
2012-11
Publication Date (W3CDTF)
2012-11
Periodical title
KIER Discussion Paper
No. or year of volume/issue
831
Volume
831