Cited in
(40)- Martingale decomposition and approximations for nonlinearly dependent processes
- Whittle estimation based on the extremal spectral density of a heavy-tailed random field
- Clustering of time series using quantile autocovariances
- Measuring network systemic risk contributions: a leave-one-out approach
- Agricultural commodity futures trading based on cross-country rolling quantile return signals
- Quantile spectral processes: asymptotic analysis and inference
- Tail event driven networks of SIFIs
- Validation of positive expectation dependence
- Bagging binary and quantile predictors for time series
- 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
- Quantile autocovariances: a powerful tool for hard and soft partitional clustering of time series
- CAViaR
- fds
- sapa
- WeightedPortTest
- quantspec
- localgauss
- Tsclust
- AS 229
- lg
- Dependence structure between Indian financial market and energy commodities: a cross-quantilogram based evidence
- Estimating impulse-response functions for macroeconomic models using directional quantiles
- Reduced form vector directional quantiles
- Quantilograms under strong dependence
- The integrated copula spectrum
- HellCor
- Of copulas, quantiles, ranks and spectra: an \(L_{1}\)-approach to spectral analysis
- Data-driven smooth tests for the martingale difference hypothesis
- Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
- The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
- Herding Behavior and Liquidity in the Cryptocurrency Market
- Penalised quantile periodogram for spectral estimation
- Validation of association
- Predictive quantile regression with persistent covariates: IVX-QR approach
- Testing the martingale difference hypothesis using integrated regression functions
- QUANTILE CORRELATIONS: UNCOVERING TEMPORAL DEPENDENCIES IN FINANCIAL TIME SERIES
- Memoryless sequences for general losses
- Random walk or chaos: a formal test on the Lyapunov exponent
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