In finance, there is growing interest in quantile regression with the particular focus on value at risk and copula models. In this paper, we first present a general interpretation of quantile regression in the financial market. We then explore the full distributional impact of factors on returns...

Two classes of quantile regression estimation methods for the recursive structural equation models of Chesher (2003) are investigated. A class of weighted average derivative estimators based directly on the identification strategy of Chesher is contrasted with a new control variate estimation...

Two classes of quantile regression estimation methods for the recursive structural equation models of Chesher (2003) are investigated. A class of weighted average derivative estimators based directly on the identification strategy of Chesher is contrasted with a new control variate estimation...