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QuantileOnQuantile  

Quantile-on-Quantile Regression Analysis
View on CRAN: Click here


Download and install QuantileOnQuantile package within the R console
Install from CRAN:
install.packages("QuantileOnQuantile")

Install from Github:
library("remotes")
install_github("cran/QuantileOnQuantile")

Install by package version:
library("remotes")
install_version("QuantileOnQuantile", "1.0.3")



Attach the package and use:
library("QuantileOnQuantile")
Maintained by
Merwan Roudane
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-02-08
Latest Update: 2026-02-08
Description:
Implements the Quantile-on-Quantile (QQ) regression methodology developed by Sim and Zhou (2015) <doi:10.1016/j.jbankfin.2015.01.013>. QQ regression estimates the effect that quantiles of one variable have on quantiles of another, capturing the dependence between distributions. The package provides functions for QQ regression estimation, 3D surface visualization with 'MATLAB'-style color schemes ('Jet', 'Viridis', 'Plasma'), heatmaps, contour plots, and quantile correlation analysis. Uses 'quantreg' for quantile regression and 'plotly' for interactive visualizations. Particularly useful for examining relationships between financial variables, oil prices, and stock returns under different market conditions.
How to cite:
Merwan Roudane (2026). QuantileOnQuantile: Quantile-on-Quantile Regression Analysis. R package version 1.0.3, https://cran.r-project.org/web/packages/QuantileOnQuantile. Accessed 26 Aug. 2026.
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