Covariates may affect continuous responses differently at various points of the response distribution. For example, some exposure might have minimal impact on conditional means, whereas it might lower ...

Quantile regression offers a more complete statistical model than mean regression and now has widespread applications. Consequently, we provide a review of this technique. We begin with an ...

Bayesian quantile regression and statistical modelling represent a growing paradigm in contemporary data analysis, extending conventional regression by estimating various conditional quantiles rather ...

In this paper we propose a semi-parametric, parsimonious value-at-risk forecasting model based on quantile regression and readily available market prices of option contracts from the over-the-counter ...