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 ...

We give methods for the construction of designs for regression models, when the purpose of the investigation is the estimation of the conditional quantile function, and the estimation method is ...

Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 80, No. 5 (2018), pp. 975-993 (19 pages) Estimating conditional quantiles of financial time series is essential for ...

One of the more difficult challenges for modeling is deciding how (or if) to deal with extreme data points. It’s a common problem in economic and financial numbers. Fat tailed distributions are ...

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 ...