Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2010
use of quantile regression. This allows us to examine speci?c parts of the return distribution such as the tails or the … center, and for a suf?ciently ?ne grid of quantiles we can trace out the entire distribution. A univariate quantile … regression model is used to examine stock and bond return distributions individually, while a multivariate model is used to …