Parametric quantile regression based on the generalized gamma distribution

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Designating Market Maker Behaviour in Limit Order Book Markets (2015, methodology): “ Section 7. This means we can also explicitly study the relationship between quantiles of the TED and certain LOB covariates, i.e. also interpreting the resulting regression as a quantile regression [Noufaily and Jones, 2013]. As the generalised gamma distribution is not a member of the exponential ”