The cross-quantilogram : measuring quantile dependence and testing directional predictability between time series
Year of publication: |
July 2016
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Authors: | Han, Heejoon ; Linton, Oliver ; Oka, Tatsushi ; Whang, Yoon-jae |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 193.2016, 1, p. 251-270
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Subject: | Quantile | Correlogram | Dependence | Predictability | Systemic risk | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Theorie | Theory | Systemrisiko |
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