Dependence structure between Indian financial market and energy commodities: a cross-quantilogram based evidence
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Publication:2150861
DOI10.1007/s10479-021-04511-4zbMath1494.91146MaRDI QIDQ2150861
Avik Sinha, Arnab Adhikari, Ankit Sharma, Arshian Sharif
Publication date: 30 June 2022
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-021-04511-4
62P20: Applications of statistics to economics
62P05: Applications of statistics to actuarial sciences and financial mathematics
91B74: Economic models of real-world systems (e.g., electricity markets, etc.)
91G15: Financial markets
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Cites Work
- The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
- The quantilogram: with an application to evaluating directional predictability
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation