wqc

MaRDI QIDQ7384425CRANFDO

Authors Anoop S Kumar

Last update 18 June 2025

Copyright license File:GPLv3 Logo.svg GNU General Public License, version 3.0

Software version identifier 0.1.2

Description

Estimate and plot wavelet quantile correlations(Kumar and Padakandla,2022) between two time series. Wavelet quantile correlation is used to capture the dependency between two time series across quantiles and different frequencies. This method is useful in identifying potential hedges and safe-haven instruments for investment purposes. See Kumar and Padakandla(2022) <doi:10.1016/j.frl.2022.102707> for further details.

Cites work

• Testing the safe-haven properties of gold and bitcoin in the backdrop of COVID-19: A wavelet quantile correlation approach

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