In finance, there is growing interest in quantile regression with the particular focus on value at risk and copula models. In this paper, we first present a general interpretation of quantile regression in the financial market. We then explore the full distributional impact of factors on returns...

In finance there is growing interest in quantile regression with the particular focus on value at risk and copula models. In this paper, we first present a general interpretation of quantile regression in the context of financial markets. We then explore the full distributional impact of factors...