Portfolio style: Return-based attribution using quantile regression
By Gilbert W. Bassett Jr., Hsiu-lang Chen. 2001
190 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/a6361ed4494bba294798f583acd79121e0e9a063
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Walid Mensi
- Duc Khuong Nguyen
- Shawkat Hammoudeh
- Juan Carlos Reboredo
- Tae-Hwan Kim
- Zudi Lu
- Halbert White
- Keming Yu
In Management Science and Operations Research
- Shawkat Hammoudeh
- Zudi Lu
- Walid Mensi
- Halbert White
- Keming Yu
- Juan Carlos Reboredo
- Duc Khuong Nguyen
- Julian Stander
Citations in the corpus
- Quantile regression: applications and current research areas (2003, methodology): “A general discussion of using quantile regression for return-based analysis was given by Bassett and Chen (2001).”
- Estimation, Inference, and Specification Testing for Possibly Misspecified Quantile Regression (2002, methodology): “In contrast to the findings of Bassett and Chen (2001), the Large-Growth component clearly stands out.”
- Do global factors impact BRICS stock markets? A quantile regression approach (2014, background): “…(e.g., Adrian and Brunnermeier, 2011) and bankruptcy prediction (e.g., Li and Miu, 2010) and to model dependence between financial variables (e.g., Bassett and Chen, 2001; Chuang et al., 2009; Baur et al., 2012; Lee and Li, 2012; Tsai, 2012; Ciner et al., 2013; Gebka and Wohar, 2013; among…”