The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series
This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to test the hypothesis that one time series has no directional predictability to another time series. We establish the asymptotic distribution of the cross-quantilogram and the correspo...
Gespeichert in:
| Hauptverfasser: | , , , |
|---|---|
| Weitere Verfasser: | |
| Sprache: | Englisch |
| Veröffentlicht: |
Elsevier
2019
|
| Online-Zugang: | https://demo7.dspace.org/handle/123456789/471 |
| Tags: |
Keine Tags, Fügen Sie das erste Tag hinzu!
|