study schedule

Quantile Regression General

For the quantile regression, I think it might help to read some essential material first from books and then start to read a few papers. Two books that you may read about are

1. Quantile Regression: Theory and Applications by Cristina Davino et al.

This book is very accessible and can quickly give you an idea of what quantile regression does and how to use it for modeling and analysis

2. Quantile Regression by Roger Koenker

This is a classic, and the first 6 chapters are still a good read. It will give you a better understanding of the problem formulation, computation and asymptotic theory.

Expected Shortfall

Financial Application:

1. Chapter 11, Value at Risk in Ruppert, David. Statistics and finance: An introduction. Springer, 2014.
2. Chapter 19, Risk management in Ruppert, David, and David S. Matteson. Statistics and data analysis for financial engineering. Vol. 13. New York: Springer, 2011.

posterior inference for quantile regression

If you are interested in exploring the Bayesian computation aspect of that, you can start with the following to get some idea on quantile modeling:

• Chapter 1 in Koenker, R. (2005). Quantile Regression (Econometric Society Monographs). Cambridge: Cambridge University Press.

Latent variable models, cognitive diagnosis modeling

• Handbook of Diagnostic Classification Models
• https://www.jstatsoft.org/article/view/v074i02/v74i02.pdf