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Estimating the APT Factor Sensitivities Using Quantile Regression

Roland Füss, Zeno Adams, Holger Wohlenberg, Ulrich Hommel & Philipp Grüber

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abstract
   
type book chapter (English)
   
keywords
   
book title Non-Linear Financial Econometrics: Forecasting Models, Computational and Bayesian Models
date of appearance 2011
publisher Palgrave Macmillan (Houndsmills, Basingstoke, Hants)
page(s) 18-27
citation Füss, R., Adams, Z., Wohlenberg, H., Hommel, U., & Grüber, P. (2011). Estimating the APT Factor Sensitivities Using Quantile Regression. In Non-Linear Financial Econometrics: Forecasting Models, Computational and Bayesian Models (pp. 18-27). Houndsmills, Basingstoke, Hants: Palgrave Macmillan.