Of copulas, quantiles, ranks and spectra: An $L_1$-approach to spectral
analysis

Of copulas, quantiles, ranks and spectra: An $L_1$ -approach to spectral analysis

30 November 2011

Papers citing "Of copulas, quantiles, ranks and spectra: An $L_1$-approach to spectral analysis"

11 / 11 papers shown

Title
The integrated copula spectrum Yuichi Goto Tobias Kley Ria Van Hecke S. Volgushev Holger Dette Marc Hallin 24 2 0 14 Dec 2021
Quantile-based fuzzy C-means clustering of multivariate time series: Robust techniques Ángel López-Oriona P. D’Urso J. A. Vilar B. Lafuente-Rego AI4TS 16 22 0 22 Sep 2021
Quantile-based fuzzy clustering of multivariate time series in the frequency domain Ángel López-Oriona J. A. Vilar P. D’Urso AI4TS 16 29 0 08 Sep 2021
Fourier analysis of serial dependence measures Ria Van Hecke S. Volgushev Holger Dette 16 5 0 13 Mar 2017
On Wigner-Ville Spectra and the Unicity of Time-Varying Quantile-Based Spectral Densities Stefan Birr Holger Dette Marc Hallin Tobias Kley S. Volgushev 29 2 0 22 Nov 2016
Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables Jozef Baruník Tobias Kley 24 195 0 23 Oct 2015
Quantile-Based Spectral Analysis in an Object-Oriented Framework and a Reference Implementation in R: The quantspec Package Tobias Kley 39 29 0 28 Aug 2014
Quantile Spectral Analysis for Locally Stationary Time Series Stefan Birr S. Volgushev Tobias Kley Holger Dette Marc Hallin 70 40 0 17 Apr 2014
A Fourier analysis of extreme events T. Mikosch Yuwei Zhao 43 15 0 12 Mar 2014
The Cross-Quantilogram: Measuring Quantile Dependence and Testing Directional Predictability between Time Series Heejoon Han O. Linton Tatsushi Oka Yoon-Jae Whang 32 414 0 09 Feb 2014
On the covariance of the asymptotic empirical copula process Christian Genest Johan Segers 85 48 0 19 Mar 2009