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. …

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 …

, 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 …

when estimating error quantiles. In order to prevent this efficiency loss in quantile estimation, we propose a quantile … estimator based on inverting an empirical likelihood weighted distribution estimator. It is found that the new quantile … estimator is uniformly more efficient than the simple empirical quantile and a quantile estimator based on normalized residuals …

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

results indicate that there is a period of dependence between late 2013 and 2016 that occurs in the long-run frequencies of … market. In the second part of the paper, we study the dynamics of the beta series by using long-run dependence approaches …

We investigate if unemployment fluctuations generate predictability in the cross-section of currency excess returns. To … assess the predictability exerted by unemployment fluctuations, we sort currencies according to past growth in the …