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...

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...

The price of gold has risen dramatically since 2001 and there have been intense debates regarding the current price of this asset and its long-term outlook. Here we study a long history of the price of gold and construct a quantile regression model to identify distributional relationships...