The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
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Publication:284329
DOI10.1016/j.jeconom.2016.03.001zbMath1420.62380arXiv1402.1937MaRDI QIDQ284329
Oliver B. Linton, Heejoon Han, Tatsushi Oka, Yoon-Jae Whang
Publication date: 18 May 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1402.1937
62G10: Nonparametric hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20: Asymptotic properties of nonparametric inference
62P05: Applications of statistics to actuarial sciences and financial mathematics
Related Items
Predictive quantile regression with persistent covariates: IVX-QR approach, Quantile spectral processes: asymptotic analysis and inference, Reduced form vector directional quantiles
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