Abnormal Volume Effect on the CAPM with Heteroskedasticity
碩士 === 逢甲大學 === 統計學系統計與精算碩士班 === 102 === In this paper, we develop a nonlinear quantile CAPM with heteroskedasticity, nonlinear market betas, nonlinear lagged abnormal volume factor, and nonlinear volatility dynamics. It’s widely reported that volume is related to return and such volume-return relat...
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| Format: | Others |
| Language: | en_US |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/53793421629772749910 |