The aim of this study is to provide a comprehensive description of the dependence pattern of stock returns by studying a range of quantiles of the conditional return distribution using quantile autoregression. This enables us in particular to study the behavior of extreme quantiles associated...

The aim of this study is to provide a comprehensive description of the dependence pattern of stock returns by studying a range of quantiles of the conditional return distribution using quantile autoregression. This enables us in particular to study the behavior of extreme quantiles associated...

This paper proposes the use of the conditional quantile regression approach for the interpretation of the nonlinear relationships between daily maximum 1-h ozone concentrations and both meteorological and persistence information. When applied to eight years (1992-1999) of data from four...