Quantile regression has emerged as a significant extension of traditional linear models and its potential in survival applications has recently been recognized. In this paper we study quantile ...

Dependent censoring occurs in many biomedical studies and poses considerable methodological challenges for survival analysis. We develop a new approach for analyzing dependently censored data by ...

One of the more difficult challenges for modeling is deciding how (or if) to deal with extreme data points. It’s a common problem in economic and financial numbers. Fat tailed distributions are ...

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 ...