• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Facilities
    • Admissions
    • Recent PhD Placements
  • Research
  • News
  • Events
    • Summer School
      • Inequalities in Health and Healthcare
      • Research on Productivity, Trade, and Growth
      • Behavioral Macro and Complexity
    • Events Calendar
    • Tinbergen Institute Lectures
    • Annual Tinbergen Institute Conference
    • Events Archive
  • Alumni
  • Times

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