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 … 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 …
