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

出版年份 2016 全文链接

标题

作者

关键词

Quantile, Correlogram, Dependence, Predictability, Systemic risk

出版物

Volume 193, Issue 1, Pages 251-270

出版商

Elsevier BV

发表日期

2016-04-01

DOI

10.1016/j.jeconom.2016.03.001

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