ATHANASIOS KOTTAS, MILOVAN KRNJAJIĆ, Bayesian Semiparametric Modelling in Quantile Regression, Scandinavian Journal of Statistics, Vol. 36, No. 2 (June 2009), pp. 297-319 ...

Quantile regression is a useful approach to modeling various aspects of conditional distributions. The Bayesian approach provides a natural framework for incorporating spatial correlation in a ...

We propose a value-at-risk model for foreign exchange risk that outperforms traditional benchmark models in- and out-of-sample. The quantile regression model is forward-looking in nature, as directly ...

This research has been peer-reviewed. For more information on this research see: Specification Choices In Quantile Regression for Empirical Macroeconomics. Journal of Applied Econometrics, 2024.

Additionally, additive quantile mixed-effects models have been developed to elucidate nonlinear relationships in patient data, effectively mapping the progression of clinical markers over time [4].