Huang, Alex YiHou; Peng, Sheng-Pen; Li, Fangjhy; Ke, … - In: International Review of Economics & Finance 20 (2011) 4, pp. 591-606
Exchange rates are known to have irregular return patterns; not only their return volatilities but the distribution functions themselves vary with time. Quantile regression allows one to predict the volatility of time series without assuming an explicit form for the underlying distribution. This...