The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series

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 asymptotic distribution of the cross-quantilogram and the correspo...

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Bibliographic Details

Main Authors:	Han, Heejoon, Linton, Oliver, Oka, Tatsushi, Whang, Yoon-Jae
Other Authors:	Systemic Physiological and Ecotoxicological Research (SPHERE)
Language:	English
Published:	Elsevier 2019
Online Access:	https://demo7.dspace.org/handle/123456789/471
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