The quantilogram: with an application to evaluating directional predictability
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Cites work
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- scientific article; zbMATH DE number 88840 (Why is no real title available?)
- scientific article; zbMATH DE number 1250597 (Why is no real title available?)
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- Rank-Based Autoregressive Order Identification
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- Resampling methods for dependent data
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Cited in
(34)- Predicting the direction of a time series
- On the serial correlation in multi-horizon predictive quantile regression
- Penalised quantile periodogram for spectral estimation
- Tail adversarial stability for regularly varying linear processes and their extensions
- Validation of association
- Nonlinear Spectral Analysis: A Local Gaussian Approach
- Dependence structure between Indian financial market and energy commodities: a cross-quantilogram based evidence
- Quantilograms under strong dependence
- Data-driven smooth tests for the martingale difference hypothesis
- Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
- Quantile spectral processes: asymptotic analysis and inference
- The nexus between black and digital gold: evidence from US markets
- A new generalized exponentially weighted moving average quantile model and its statistical inference
- Robust fuzzy clustering based on quantile autocovariances
- Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk
- Memoryless sequences for general losses
- The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
- Predictive quantile regression with persistent covariates: IVX-QR approach
- QUANTILE CORRELATIONS: UNCOVERING TEMPORAL DEPENDENCIES IN FINANCIAL TIME SERIES
- quantilogram
- Validation of positive expectation dependence
- The integrated copula spectrum
- Tests of strict stationarity based on quantile indicators
- Clustering of time series using quantile autocovariances
- Whittle estimation based on the extremal spectral density of a heavy-tailed random field
- Quantile autocovariances: a powerful tool for hard and soft partitional clustering of time series
- Of copulas, quantiles, ranks and spectra: an \(L_{1}\)-approach to spectral analysis
- Tail Spectral Density Estimation and Its Uncertainty Quantification: Another Look at Tail Dependent Time Series Analysis
- Random walk or chaos: a formal test on the Lyapunov exponent
- HAC Covariance Matrix Estimation in Quantile Regression
- Testing the martingale difference hypothesis using integrated regression functions
- Predictable return distributions
- Inference on the tail process with application to financial time series modeling
- Inference in predictive quantile regressions
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