The Matlab codes that allows for computing the multiple-output regression quantile regions from
[
29. Multivariate quantiles and multiple-output regression quantiles: From L_1 optimization to halfspace depth (with M. Hallin and M. Siman). Annals of Statistics 38, 635-669 (2010).
]
is available here. The code is extensively described in
[
40. Computing multiple-output regression quantile regions (with M. Siman). Computational Statistics and Data Analysis, to appear.
]

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Actually, the same regions can also be obtained from "projection quantiles" as explained in
[
36. On directional multiple-output quantile regression (with M. Siman). Journal of Multivariate Analysis 102, 193-212 (2011).
]
The corresponding code, available here, is described in
[
43. Computing multiple-output regression quantile regions from projection quantiles (with M. Siman).
]