Abstract
Quantile regression is a very powerful tool for financial research and risk
modelling, and we believe that it has further applications that can provide
significant insights in empirical work in finance. This paper demonstrates its
use on a sample of Australian stocks and shows that, while ordinary least squares
regression is not effective in capturing the extreme values or the adverse losses
evident in return distributions, these are captured by quantile regressions.
modelling, and we believe that it has further applications that can provide
significant insights in empirical work in finance. This paper demonstrates its
use on a sample of Australian stocks and shows that, while ordinary least squares
regression is not effective in capturing the extreme values or the adverse losses
evident in return distributions, these are captured by quantile regressions.
| Original language | English |
|---|---|
| Pages (from-to) | 7-12 |
| Number of pages | 6 |
| Journal | JASSA |
| Issue number | 4 |
| Publication status | Published - 2009 |
| Externally published | Yes |
Keywords
- capital markets
- regression analysis
- stock market