TY  - RPRT
AU  - Allen, David E.
AU  - Singh, Abhay K.
AU  - Powell, Robert J.
AU  - McAleer, Michael
AU  - Taylor, James
PY  - 2012
UR  - https://hdl.handle.net/20.500.14352/49120
AB  - This paper examines the asymmetric relationship between price and implied volatility and the associated extreme quantile dependence using a linear and non-linear quantile regression approach. Our goal is to demonstrate that the relationship between...
LA  - eng
KW  - Return Volatility relationship
KW  - Quantile regression
KW  - Copula
KW  - Copula quantile regression
KW  - Volatility index
KW  - Tail dependence.
TI  - The Volatility-Return Relationship: Insights from Linear and Non-Linear Quantile Regressions
TY  - technical report
VL  - 2012
ER  -