The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series

DOI10.1016/j.jeconom.2016.03.001zbMath1420.62380arXiv1402.1937OpenAlexW2131375261MaRDI QIDQ284329

Heejoon Han, Tatsushi Oka, Yoon-Jae Whang, Oliver B. Linton

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

zbMATH Keywords

quantilepredictabilitydependencesystemic riskcorrelogram

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Uses Software

• CAViaR
• quantilogram

Cites Work

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