The quantilogram: with an application to evaluating directional predictability

DOI10.1016/J.JECONOM.2007.01.004zbMATH Open1418.62338OpenAlexW2086478362MaRDI QIDQ288359FDOQ288359

Oliver Linton, Yoon-Jae Whang

Publication date: 25 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.01.004

Recommendations

• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
• Quantilograms under strong dependence
• A nonparametric approach to test for predictability
• Predicting the direction of a time series
• Predictive quantile regressions under persistence and conditional heteroskedasticity

zbMATH Keywords

dependenceempirical processquantilescorrelogramefficient marketsportmanteau

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Regression rank scores and regression quantiles
• Subsampling
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• Resampling methods for dependent data
• Convergence of stochastic processes
• Title not available (Why is that?)
• Weak convergence of the sequential empirical processes of residuals in ARMA models
• Trimmed Least Squares Estimation in the Linear Model
• Asymptotic Theory of Least Absolute Error Regression
• Temporal Aggregation of Garch Processes
• Title not available (Why is that?)
• Weighted empirical processes in dynamic nonlinear models.
• The sample autocorrelations of heavy-tailed processes with applications to ARCH
• Title not available (Why is that?)
• Title not available (Why is that?)
• Generalized runs tests for heteroscedastic time series
• A weak convergence result useful in robust autoregression
• Asymptotic relations of M-estimates and R-estimates in linear regression model
• The asymptotic null distribution of the Box-Pierce \(\mathcal Q\)-statistic for random variables with infinite variance. An application to German stock returns
• Generalized portmanteau statistics and tests of randomness
• The weighted empirical process of row independent random variables with arbitrary distribution functions
• Title not available (Why is that?)
• Rank-Based Autoregressive Order Identification
• Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1

Cited In (32)

• Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
• Clustering of time series using quantile autocovariances
• Whittle estimation based on the extremal spectral density of a heavy-tailed random field
• Tail Spectral Density Estimation and Its Uncertainty Quantification: Another Look at Tail Dependent Time Series Analysis
• Tail adversarial stability for regularly varying linear processes and their extensions
• QUANTILOGRAMS UNDER STRONG DEPENDENCE
• Quantile spectral processes: asymptotic analysis and inference
• Validation of positive expectation dependence
• A new generalized exponentially weighted moving average quantile model and its statistical inference
• Nonlinear Spectral Analysis: A Local Gaussian Approach
• Inference on the tail process with application to financial time series modeling
• Robust fuzzy clustering based on quantile autocovariances
• Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk
• Quantile autocovariances: a powerful tool for hard and soft partitional clustering of time series
• Dependence structure between Indian financial market and energy commodities: a cross-quantilogram based evidence
• Title not available (Why is that?)
• HAC Covariance Matrix Estimation in Quantile Regression
• quantilogram
• The integrated copula spectrum
• Of copulas, quantiles, ranks and spectra: an \(L_{1}\)-approach to spectral analysis
• Data-driven smooth tests for the martingale difference hypothesis
• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
• Inference in predictive quantile regressions
• Penalised quantile periodogram for spectral estimation
• Validation of association
• Predictive quantile regression with persistent covariates: IVX-QR approach
• QUANTILE CORRELATIONS: UNCOVERING TEMPORAL DEPENDENCIES IN FINANCIAL TIME SERIES
• Testing the martingale difference hypothesis using integrated regression functions
• The nexus between black and digital gold: evidence from US markets
• Tests of strict stationarity based on quantile indicators
• Predicting the direction of a time series
• Random walk or chaos: a formal test on the Lyapunov exponent

Uses Software

• CAViaR

This page was built for publication: The quantilogram: with an application to evaluating directional predictability

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q288359)