Re-examining the risk--return relationship in banks using quantile regression
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DOI: 10.1080/02642060802626865
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- Engle, Robert F & Manganelli, Simone, 1999. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," University of California at San Diego, Economics Working Paper Series qt06m3d6nv, Department of Economics, UC San Diego.
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