Bouye, Eric; Salmon, Mark - In: The European Journal of Finance 15 (2009) 7-8, pp. 721-750
the dependence function (or copula). We then deduce the form of the (invariably nonlinear) conditional quantile …We introduce a general approach to nonlinear quantile regression modelling based on the copula function that defines … quantiles. Econometrica, 46, no. 1: 33-50.) original statement of the quantile regression problem by determining a distribution …