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 context of financial markets. We then explore the full distributional impact of factors...

This book provides readers with a systematic approach to quantitative investments and bridges the gap between theory and practice, equipping students to more seamlessly enter the world of industry. A successful quantitative investment strategy requires an individual to possess a deep...