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The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series
Han, Heejoon; Linton, Oliver; Oka, Tatsushi; Whang, Yoon-Jae - 2014
This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to …
Persistent link: https://www.econbiz.de/10010368200
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The cross-quantilogram : measuring quantile dependence and testing directional predictability between time series
Han, Heejoon; Linton, Oliver; Oka, Tatsushi; Whang, Yoon-jae - 2014
This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to …
Persistent link: https://www.econbiz.de/10010245330
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The cross-quantilogram : measuring quantile dependence and testing directional predictability between time series
Han, Heejoon; Linton, Oliver; Oka, Tatsushi; Whang, Yoon-jae - In: Journal of econometrics 193 (2016) 1, pp. 251-270
Persistent link: https://www.econbiz.de/10011704806