Let a process SI , ... ,ST obey the conditionally heteroskedastic equation St = Vt Et whcrc Et is a random noise and Vt is the volatility coefficient which in turn obeys an autoregression type equation log v t = w + a S t- l + nt with an additional noise nt. We consider the situation which the...

Conditional quantile curves provide a comprehensive picture of a response contingent on explanatory variables. Quantile regression is a technique to estimate such curves. In a flexible modeling framework, a specific form of the quantile is not a priori fixed. Indeed, the majority of applications...