Chapter

Quantile Regression

Financial Econometrics

  1. Chris Gowlland CFA

Published Online: 15 DEC 2012

DOI: 10.1002/9781118182635.efm0061

Encyclopedia of Financial Models

Encyclopedia of Financial Models

How to Cite

Gowlland, C. 2012. Quantile Regression. Encyclopedia of Financial Models. .

Author Information

  1. Senior Quantitative Analyst, Delaware Investments

Publication History

  1. Published Online: 15 DEC 2012

Abstract

Many of the statistical methods that are most commonly used by researchers and practitioners in finance are mainly focused on identifying the central tendency within a data set. However, there are numerous situations where it may be equally or more important to understand the dispersion between outcomes that are higher or lower than the central tendency. One statistical method that can be useful in such investigations is quantile regression, which conceptually can be viewed as a logical extension of ordinary least squares methods.

Keywords:

  • ordinary least squares;
  • central tendency;
  • Quantile regressions;
  • statistical analysis;
  • outliers;
  • median