College of Mathematical and Statistics, Sichuan University of Science and Engineering, Zigong, China. In past studies, quantile regression and expectile regression have established a solid theoretical ...

Journal of Hydrometeorology, Vol. 17, No. 6 (June 2016), pp. 1869-1883 (15 pages) ABSTRACT Classical regression models are widely used in hydrological regional frequency analysis (RFA) in order to ...

Quantile regression has emerged as a significant extension of traditional linear models and its potential in survival applications has recently been recognized. In this paper we study quantile ...

In this paper we propose a semi-parametric, parsimonious value-at-risk forecasting model based on quantile regression and readily available market prices of option contracts from the over-the-counter ...

ABSTRACT: As extremely important methods, Lp regression methods have attracted the attention of either theoretical or empirical researchers all over the world. As special cases of that, quantile and ...

This paper examines a set of value-at-risk (VaR) models and their ability to appropriately describe and capture price-change risk in the European energy market. We make in-sample, one-day-ahead VaR ...