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

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Allen, David E., Singh, Abhay K., Powell, Robert J., McAleer, Michael, Taylor, James, Thomas, LynInstitute of Economic Research, Kyoto University2012-11KIER Discussion Paper831

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Summary, etc....ssion known as copula quantile regression (CQR). The discussion of the ...
Subject Heading...ression copula copula quantile regression volatility index tail depende...

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