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13-020/III - Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression


  • Authors
    David E. Allen, Edith Cowan University, Australia; Abhay K. Singh, Edith Cowan University, Australia; Robert J. Powell, Edith Cowan University, Australia; Michael McAleer, Erasmus University Rotterdam, Complutense University of Madrid, Spain, and Kyoto University, Japan; James Taylor, University of Oxford, Oxford; Lyn Thomas, University of Southampton, Southampton
  • Publication date
    January 18, 2013
  • Keywords
    Return-Volatility relationship, quantile regression, copula, copula quantile regression, volatility index, tail dependence
  • JEL
    C14, C58, G11