quantilogram

swMATH25152MaRDI QIDQ36894FDOQ36894

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Described by source

• The quantilogram: with an application to evaluating directional predictability

Cited In (30)

• Martingale decomposition and approximations for nonlinearly dependent processes
• Clustering of time series using quantile autocovariances
• Whittle estimation based on the extremal spectral density of a heavy-tailed random field
• Agricultural commodity futures trading based on cross-country rolling quantile return signals
• Measuring network systemic risk contributions: a leave-one-out approach
• QUANTILOGRAMS UNDER STRONG DEPENDENCE
• Tail event driven networks of SIFIs
• Quantile spectral processes: asymptotic analysis and inference
• 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
• 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
• Title not available (Why is that?)
• 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
• Herding Behavior and Liquidity in the Cryptocurrency Market
• 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
• 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
• Random walk or chaos: a formal test on the Lyapunov exponent

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