Quantile Regression

For those who want to follow up on the talk yesterday on Quantile Regressions here's a few handy references:

Quantile Regression: Applications and Current Research Areas: Keming Yu, Zudi Lu and Julian Stander, Journal of the Royal Statistical Society. Series D (The Statistician), Vol. 52, No. 3 (2003)
Quantile Regression, R Koenker & K Hallock, J Economic Perspectives, 15(4) 2001
Arias, Omar, Kevin Hallock and Walter Sosa-Escudero. 2001. “Individual Heterogeneity in the Returns to Schooling: Instrumental Variables Quantile Regression Using Twins Data.” Empirical Economics. March, 26:1, pp. 7–40.
Koenker, Roger and Kevin Hallock. 2000. “Quantile Regression: An Introduction.” Available at http://www.econ.uiuc.edu/;roger/research/intro/intro.html&.

Beyond the Central Tendency: Quantile Regression

I’m sure everyone has heard of this before but I’ve been reading up recently on quantile regression. This article by Chris Gowlland, Zhijie Xiao and Qi Zeng offers a nice overview of how the method has developed over the years.

Abridged Abstract from The Journal of Portfolio Mgmt. Spring 2009, Vol. 35, No. 3:

Quantitative investors frequently analyze factor performance using regression based on the familiar ordinary least squares approach. This is highly effective for understanding the central tendency within a dataset, but will often be less useful for assessing the behavior of datapoints close to the upper or lower extremes within a population. But from the perspective of active investors or risk managers, the datapoints at the extremes may be precisely the ones of greatest interest. For such applications, a more appropriate methodology is quantile regression...