A Quantile Regression Approach to Estimating the Distribution of Multiperiod Returns

Time-varying and stochastic volatility, non-lognormaility, mean reversion, price jumps, and non-zero correlation between volatility changes and asset returns all characterize asset returns, at least in some markets and some time periods. This can make accurately estimating the location of the tail o...

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Bibliographic Details
Main Author: Taylor, J
Format: Journal article
Published: 1999