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# CITATION file created with {cffr} R package
# See also: https://docs.ropensci.org/cffr/
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cff-version: 1.2.0
message: 'To cite package "mqqr" in publications use:'
type: software
license: GPL-3.0-only
title: 'mqqr: Multivariate Quantile-on-Quantile Regression'
version: 1.0.0
identifiers:
- type: doi
  value: 10.32614/CRAN.package.mqqr
abstract: Implements Multivariate Quantile-on-Quantile Regression (m-QQR) of Sinha,
  Ghosh, Hussain, Nguyen and Das (2023) <https://doi.org/10.1016/j.eneco.2023.107021>,
  extending the bivariate Quantile-on-Quantile regression of Sim and Zhou (2015) <https://doi.org/10.1016/j.jbankfin.2015.01.013>
  to include exogenous moderators and controls with optional interaction terms. For
  each pair of quantile levels (theta of the response and tau of the regressor) the
  package fits a locally-weighted quantile regression of y on the principal regressor
  x, a lagged dependent variable, moderators Z and the x*Z interaction terms, using
  Gaussian kernel weights on the empirical cumulative distribution function (CDF)
  distance. Bootstrap standard errors and Koenker-Machado pseudo R-squared are reported.
  Visualisations include 'MATLAB'-style 'Parula' and 'Jet' 3D surfaces, heatmaps and
  contour plots through 'plotly'.
authors:
- family-names: Roudane
  given-names: Merwan
  email: merwanroudane920@gmail.com
preferred-citation:
  type: manual
  title: 'mqqr: Multivariate Quantile-on-Quantile Regression'
  authors:
  - family-names: Roudane
    given-names: Merwan
    email: merwanroudane920@gmail.com
  year: '2026'
  notes: R package version 1.0.0
  url: https://github.com/merwanroudane/multiqqr
repository: https://merwanroudane.r-universe.dev
repository-code: https://github.com/merwanroudane/multiqqr
commit: c516703397d8364ed89e8ad9e02df6f17b3c81d2
url: https://github.com/merwanroudane/multiqqr
date-released: '2026-06-01'
contact:
- family-names: Roudane
  given-names: Merwan
  email: merwanroudane920@gmail.com
references:
- type: article
  title: 'Green financing of renewable energy generation: Capturing the role of exogenous
    moderation for ensuring sustainable development'
  authors:
  - family-names: Sinha
    given-names: Avik
  - family-names: Ghosh
    given-names: Vinit
  - family-names: Hussain
    given-names: Nazim
  - family-names: Nguyen
    given-names: Duc Khuong
  - family-names: Das
    given-names: Narasingha
  journal: Energy Economics
  year: '2023'
  volume: '126'
  doi: 10.1016/j.eneco.2023.107021
  start: '107021'
- type: article
  title: Oil Prices, US Stock Return, and the Dependence Between Their Quantiles
  authors:
  - family-names: Sim
    given-names: Nicholas
  - family-names: Zhou
    given-names: Hongtao
  journal: Journal of Banking and Finance
  year: '2015'
  volume: '55'
  doi: 10.1016/j.jbankfin.2015.01.013
  start: '1'
  end: '12'