This paper investigates extremal quantiles under two-way cluster dependence. We demonstrate that the limiting distribution of the unconditional intermediate order quantiles in the tails converges to a Gaussian distribution. This is remarkable as two-way cluster dependence entails potential non-Gaussianity in general, but extremal quantiles do not suffer from this issue. Building upon this result, we extend our analysis to extremal quantile regressions of intermediate order.

翻译：本文研究双聚类相依结构下的极端分位数。我们证明尾部无条件中间阶分位数的极限分布收敛于高斯分布。这一发现值得关注，因为双聚类相依通常会导致潜在的非高斯性，但极端分位数不受此问题影响。基于该结果，我们将分析拓展至中间阶极端分位数回归。