Dr. James McCaffrey from Microsoft Research presents a complete end-to-end demonstration of neural network quantile regression. The goal of a quantile regression problem is to predict a single numeric ...

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 ...

Estimating the conditional quantiles of outcome variables of interest is frequent in many research areas, and quantile regression is foremost among the utilized methods. The coefficients of a quantile ...

Commodities constitute a nonhomogeneous asset class. Return distributions differ widely across different commodities, both in terms of tail fatness and skewness. These are features that we need to ...