Quantile regression offers a versatile framework for characterising the full conditional distribution of a response variable by modelling specified quantiles rather than the mean alone. This approach ...

Immunotherapy has been approved to treat many tumor types. However, one characteristic of this therapeutic class is that survival benefit is due to late immune response, which leads to a delayed ...

In this paper we propose a semi-parametric, parsimonious value-at-risk forecasting model based on quantile regression and readily available market prices of option contracts from the over-the-counter ...

This paper examines a set of value-at-risk (VaR) models and their ability to appropriately describe and capture price-change risk in the European energy market. We make in-sample, one-day-ahead VaR ...