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

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

zbMATH Keywords

quantile; predictability; dependence; systemic risk; correlogram

Mathematics Subject Classification ID

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

Uses Software

• CAViaR
• quantilogram