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

Published 2016 View Full Article

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Title
The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series
Authors
Keywords
Quantile, Correlogram, Dependence, Predictability, Systemic risk
Journal
JOURNAL OF ECONOMETRICS
Volume 193, Issue 1, Pages 251-270
Publisher
Elsevier BV
Online
2016-04-01
DOI
10.1016/j.jeconom.2016.03.001

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