In this paper, we propose two important measures, quantile correlation (QCOR) and quantile partial correlation (QPCOR). We then apply them to quantile autoregressive (QAR) models, and introduce two valuable quantities, the quantile autocorrelation function (QACF) and the quantile partial...

We consider here a large-scale social network with a continuous response observed for each node at equally spaced time points. The responses from different nodes constitute an ultra-high dimensional vector, whose time series dynamic is to be investigated. In addition, the network structure is...

Many financial time series have varying structures at different quantile levels, and also exhibit the phenomenon of conditional heteroscedasticity at the same time. In the meanwhile, it is still lack of a time series model to accommodate both of the above features simultaneously. This paper...