ALLEN, D. E.; POWELL, R. J.; SINGH, A. K. - In: Annals of Financial Economics (AFE) 06 (2011) 01, pp. 1150003-1
The worldwide impact of the Global Financial Crisis (GFC) on stock markets, investors and fund managers has lead to a renewed interest in appropriate tools for robust risk management. Quantile regression is a powerful technique and deserves the interest of financial decision makers given its...