Abstract
We used a quantile regression under asymmetric Laplace distribution for predicting stock returns. Specifically, we apply this method to the classical capital asset pricing model (CAPM) to estimate the beta coefficient which measure risk in the portfolios management analysis at given levels of quantile. Quantile regression estimation is equivalent to the parametric case where the error term is asymmetrically Laplace distributed. Finally, we use the method to measures the volatility of a portfolio relative to the market.
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Acknowledgments
The authors thank Prof. Dr. Hung T. Nguyen for his helpful comments and suggestions. We would like to thank referee’s comments and suggestions on the manuscript.
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Autchariyapanitkul, K., Chanaim, S., Sriboonchitta, S. (2015). Quantile Regression Under Asymmetric Laplace Distribution in Capital Asset Pricing Model. In: Huynh, VN., Kreinovich, V., Sriboonchitta, S., Suriya, K. (eds) Econometrics of Risk. Studies in Computational Intelligence, vol 583. Springer, Cham. https://doi.org/10.1007/978-3-319-13449-9_15
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DOI: https://doi.org/10.1007/978-3-319-13449-9_15
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