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 …

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

return predictors, including tail risk. The predictability results are robust to out-of-sample tests …