The cross-quantilogram : measuring quantile dependence and testing directional predictability between time series
Heejoon Han, Oliver Linton, Tatsushi Oka, Yoon-Jae Whang
| 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 | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2016.03.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011704806