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 … the null hypothesis of no predictability. We provide simulation studies and two empirical applications. First, we use the …

cross-quantilogram methodology. Our analysis yields significant evidence of directional predictability from risk aversion to … patterns in carry trade returns that can be captured via quantile-based predictive models. …

cross-quantilogram methodology. Our analysis yields significant evidence of directional predictability from risk aversion to … patterns in carry trade returns that can be captured via quantile-based predictive models. …

given time series has no directional predictability. The test is based on the correlogram of quantile hits. We provide the …In this note we propose a simple method of measuring directional predictability and testing for the hypothesis that a … stock index return data. The empirical results suggests some directional predictability in returns especially in mid range …

given time series has no directional predictability. The test is based on the correlogram of quantile hits. We provide the …In this note we propose a simple method of measuring directional predictability and testing for the hypothesis that a … stock index return data. The empirical results suggest some directional predictability in returns, especially in mid …

, and inflation hedging to investors. This study employs a quantile autoregression model to investigate the dependence … aggregate effects of the sign and size of returns, business cycles, volatility, and REIT eras on the dependence structure of … daily, weekly, and monthly REIT returns. The study documents asymmetric and misaligned dependence patterns. A bad market …

, and inflation hedging to investors. This study employs a quantile autoregression model to investigate the dependence … aggregate effects of the sign and size of returns, business cycles, volatility, and REIT eras on the dependence structure of … daily, weekly, and monthly REIT returns. The study documents asymmetric and misaligned dependence patterns. A bad market …

-linear dependence on previous returns. The expected sign of returns tends to reverse after large price movements and trends tend to …