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

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

January 18, 2013