Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Holger Fink & Yulia Klimova & Claudia Czado & Jakob Stober, 2016. "Regime switching vine copula models for global equity and volatility indices," Papers 1604.05598, arXiv.org.
- repec:eee:ecofin:v:42:y:2017:i:c:p:107-131 is not listed on IDEAS
- Holger Fink & Yulia Klimova & Claudia Czado & Jakob Stöber, 2017. "Regime Switching Vine Copula Models for Global Equity and Volatility Indices," Econometrics, MDPI, Open Access Journal, vol. 5(1), pages 1-38, January.
More about this item
KeywordsReturn-Volatility relationship; quantile regression; copula; copula quantile regression; volatility index; tail dependence;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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